NPORT-P
    false
    
      
      
        
          0001413032
          XXXXXXXX
        
      
      
      
      
        S000019839
        C000088755
        C000088756
        C000055676
      
      
      
    
  
  
    
      Columbia Funds Variable Series Trust II
      811-22127
      0001413032
      54930017CSZ4UCL7G406
      290 Congress Street
      Boston
      
      02110
      800-345-6611
      CTIVP - BlackRock Global Inflation-Protected Securities Fund
      S000019839
      4J0QTYYKWTDXQFW9VU43
      2022-12-31
      2022-03-31
      N
    
    
      121912606.560000000000
      1764463.230000000000
      120148143.330000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      224944.750000000000
      
        
          JPY
          
          
        
        
          SEK
          
          
        
        
          NZD
          
          
        
        
          GBP
          
          
        
        
          USD
          
          
        
        
          DKK
          
          
        
        
          CAD
          
          
        
        
          AUD
          
          
        
        
          EUR
          
          
        
      
      
      
      N
      
        
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.061500 29-FEB-2024
        000000000
        
          
        
        140000.000000000000
        OU
        Notional Amount
        USD
        3628.980000000000
        0.0030204212
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-02-29
            0.530000000000
            USD
            0.000000000000
            USD
            140000.000000000000
            USD
            3561.980000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.984000 02-DEC-2026
        000000000
        
          
        
        490000.000000000000
        OU
        Notional Amount
        USD
        24436.310000000000
        0.0203384832
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
              
                
              
            
            
            2026-12-02
            5.420000000000
            USD
            0.000000000000
            USD
            490000.000000000000
            USD
            24430.890000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.087000 05-APR-2024
        000000000
        
          
        
        210000.000000000000
        OU
        Notional Amount
        USD
        5835.630000000000
        0.0048570289
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-05
            0.810000000000
            USD
            0.000000000000
            USD
            210000.000000000000
            USD
            5834.820000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -260000.000000000000
        OU
        Notional Amount
        USD
        -2015.780000000000
        -0.0016777454
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.438000 07-DEC-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-12-07
                  N/A
                  N/A
                  N/A
                  N/A
                  -260000.000000000000
                  USD
                
              
            
            -260000.000000000000000
            USD
            1.438000000000
            USD
            2022-12-05
            XXXX
            5904.470000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -260000.000000000000
        OU
        Notional Amount
        USD
        -19007.610000000000
        -0.0158201446
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.438000 07-DEC-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-12-07
                  N/A
                  N/A
                  N/A
                  N/A
                  -260000.000000000000
                  USD
                
              
            
            -260000.000000000000000
            USD
            1.438000000000
            USD
            2022-12-05
            XXXX
            -11087.360000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.252000 07-JUN-2024
        000000000
        
          
        
        315000.000000000000
        OU
        Notional Amount
        USD
        8819.340000000000
        0.0073403881
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-06-07
            1.220000000000
            USD
            0.000000000000
            USD
            315000.000000000000
            USD
            8818.120000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.224000 07-JUN-2024
        000000000
        
          
        
        315000.000000000000
        OU
        Notional Amount
        USD
        8990.700000000000
        0.0074830120
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-06-07
            1.220000000000
            USD
            0.000000000000
            USD
            315000.000000000000
            USD
            8989.480000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.238000 07-DEC-2031
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        -10117.450000000000
        -0.0084208126
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2031-12-07
            2.040000000000
            USD
            0.000000000000
            USD
            130000.000000000000
            USD
            -9637.590000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.186000 07-DEC-2031
        000000000
        
          
        
        43000.000000000000
        OU
        Notional Amount
        USD
        -3542.760000000000
        -0.0029486598
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2031-12-07
            0.680000000000
            USD
            0.000000000000
            USD
            43000.000000000000
            USD
            -3391.190000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.012000 09-JUN-2024
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        USD
        8651.170000000000
        0.0072004192
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-06-09
            1.210000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            USD
            8649.960000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: GBP 0.850000 30-JUL-2024
        000000000
        
          
        
        565000.000000000000
        OU
        Notional Amount
        
        -19518.390000000000
        -0.0162452698
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                GBP SONIA OVERNIGHT RATE
                CT1240964
              
            
            Y
            
            
              
                
              
            
            2024-07-30
            625.600000000000
            USD
            0.000000000000
            USD
            565000.000000000000
            GBP
            -18950.420000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.855000 15-DEC-2041
        000000000
        
          
        
        65000.000000000000
        OU
        Notional Amount
        
        9005.650000000000
        0.0074954550
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2041-12-15
            2.960000000000
            USD
            0.000000000000
            USD
            65000.000000000000
            GBP
            9002.690000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -417000.000000000000
        OU
        Notional Amount
        USD
        -3320.450000000000
        -0.0027636299
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    CME GROUP INC
                    9J6MBOOO7BECTDTUZW19
                    FSWP: OIS 1.230500 14-JUN-2027
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      United States SOFR Secured Overnight Financing Rate
                      CT1403743
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-06-14
                  N/A
                  N/A
                  N/A
                  N/A
                  -417000.000000000000
                  USD
                
              
            
            -417000.000000000000000
            USD
            1.432500000000
            USD
            2022-12-13
            XXXX
            8480.650000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -417000.000000000000
        OU
        Notional Amount
        USD
        -30753.620000000000
        -0.0255964172
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK SECURITIES INC
                    9J6MBOOO7BECTDTUZW19
                    FSWP: OIS 1.432500 15-DEC-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      United States SOFR Secured Overnight Financing Rate
                      CT1403743
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-12-15
                  N/A
                  N/A
                  N/A
                  N/A
                  -417000.000000000000
                  USD
                
              
            
            -417000.000000000000000
            USD
            1.432500000000
            USD
            2022-12-13
            XXXX
            -18952.520000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.389000 15-DEC-2051
        000000000
        
          
        
        10000.000000000000
        OU
        Notional Amount
        USD
        -1331.140000000000
        -0.0011079156
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2051-12-15
            0.310000000000
            USD
            0.000000000000
            USD
            10000.000000000000
            USD
            -1292.540000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: IFS 3.773700 15-DEC-2041
        000000000
        
          
        
        65000.000000000000
        OU
        Notional Amount
        
        11108.170000000000
        0.0092453946
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2041-12-15
            0.000000000000
            USD
            -277.270000000000
            USD
            65000.000000000000
            GBP
            11385.440000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 4.265000 15-DEC-2031
        000000000
        
          
        
        200000.000000000000
        OU
        Notional Amount
        
        -16346.440000000000
        -0.0136052373
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
            
              
                
              
            
            2031-12-15
            0.000000000000
            USD
            -521.220000000000
            USD
            200000.000000000000
            GBP
            -15825.220000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.725000 15-DEC-2041
        000000000
        
          
        
        100000.000000000000
        OU
        Notional Amount
        
        19004.180000000000
        0.0158172898
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2041-12-15
            226.870000000000
            USD
            0.000000000000
            USD
            100000.000000000000
            GBP
            18777.310000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.276500 17-JUN-2024
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        USD
        8691.070000000000
        0.0072336282
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-06-17
            1.220000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            USD
            8689.850000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -418000.000000000000
        OU
        Notional Amount
        USD
        -3316.290000000000
        -0.0027601675
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.425000 19-DEC-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-12-19
                  N/A
                  N/A
                  N/A
                  N/A
                  -418000.000000000000
                  USD
                
              
            
            -418000.000000000000000
            USD
            1.425000000000
            USD
            2022-12-15
            XXXX
            8450.410000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -418000.000000000000
        OU
        Notional Amount
        USD
        -31372.150000000000
        -0.0261112233
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.425000 19-DEC-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-12-19
                  N/A
                  N/A
                  N/A
                  N/A
                  -418000.000000000000
                  USD
                
              
            
            -418000.000000000000000
            USD
            1.425000000000
            USD
            2022-12-15
            XXXX
            -19605.450000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.125000 15-DEC-2051
        000000000
        
          
        
        50000.000000000000
        OU
        Notional Amount
        
        -13007.100000000000
        -0.0108258851
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
            
              
                
              
            
            2051-12-15
            2.520000000000
            USD
            0.000000000000
            USD
            50000.000000000000
            EUR
            -13009.620000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.445000 20-DEC-2051
        000000000
        
          
        
        75000.000000000000
        OU
        Notional Amount
        USD
        9382.060000000000
        0.0078087432
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
              
                
              
            
            
            2051-12-20
            3.330000000000
            USD
            0.000000000000
            USD
            75000.000000000000
            USD
            9378.730000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.096400 15-DEC-2051
        000000000
        
          
        
        10000.000000000000
        OU
        Notional Amount
        
        -2733.680000000000
        -0.0022752578
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
            
              
                
              
            
            2051-12-15
            0.510000000000
            USD
            0.000000000000
            USD
            10000.000000000000
            EUR
            -2734.190000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        197935000.000000000000
        OU
        Notional Amount
        
        56.910000000000
        0.0000473665
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Purchased
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: JPY 1.042000 01-JUL-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR
                      CT1862899
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-07-01
                  N/A
                  N/A
                  N/A
                  N/A
                  197935000.000000000000
                  JPY
                
              
            
            197935000.000000000000000
            JPY
            1.042000000000
            JPY
            2022-06-29
            XXXX
            56.910000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.246500 05-JUN-2027
        000000000
        
          
        
        125000.000000000000
        OU
        Notional Amount
        USD
        -6120.840000000000
        -0.0050944108
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2027-06-05
            1.110000000000
            USD
            0.000000000000
            USD
            125000.000000000000
            USD
            -6121.950000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.097000 04-APR-2024
        000000000
        
          
        
        155000.000000000000
        OU
        Notional Amount
        USD
        4268.990000000000
        0.0035531053
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-04
            0.620000000000
            USD
            0.000000000000
            USD
            155000.000000000000
            USD
            4268.370000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.620000 06-JAN-2052
        000000000
        
          
        
        30000.000000000000
        OU
        Notional Amount
        USD
        -2294.220000000000
        -0.0019094927
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2052-01-06
            23.120000000000
            USD
            0.000000000000
            USD
            30000.000000000000
            USD
            -2208.780000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 0.987500 07-APR-2024
        000000000
        
          
        
        620000.000000000000
        OU
        Notional Amount
        USD
        15407.920000000000
        0.0128241016
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-04-07
            2.460000000000
            USD
            0.000000000000
            USD
            620000.000000000000
            USD
            15405.460000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 0.985500 07-APR-2024
        000000000
        
          
        
        620000.000000000000
        OU
        Notional Amount
        USD
        15432.350000000000
        0.0128444349
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-04-07
            2.460000000000
            USD
            0.000000000000
            USD
            620000.000000000000
            USD
            15429.890000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.552500 10-JAN-2032
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        6585.370000000000
        0.0054810418
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-01-10
            2.050000000000
            USD
            0.000000000000
            USD
            130000.000000000000
            USD
            6155.320000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.606500 11-JAN-2032
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        5963.580000000000
        0.0049635224
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-01-11
            2.050000000000
            USD
            0.000000000000
            USD
            130000.000000000000
            USD
            5523.360000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -1965000.000000000000
        OU
        Notional Amount
        USD
        -1636.650000000000
        -0.0013621933
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK SECURITIES INC
                    9J6MBOOO7BECTDTUZW19
                    FSWP: OIS 1.250000 12-JAN-2025
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      United States SOFR Secured Overnight Financing Rate
                      CT1403743
                    
                  
                  
                  
                    
                      
                    
                  
                  2025-01-12
                  N/A
                  N/A
                  N/A
                  N/A
                  -1965000.000000000000
                  USD
                
              
            
            -1965000.000000000000000
            USD
            1.250000000000
            USD
            2023-01-10
            XXXX
            6075.980000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -1965000.000000000000
        OU
        Notional Amount
        USD
        -40543.260000000000
        -0.0337443916
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK SECURITIES INC
                    9J6MBOOO7BECTDTUZW19
                    FSWP: OIS 1.750000 12-JAN-2025
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      United States SOFR Secured Overnight Financing Rate
                      CT1403743
                    
                  
                  
                    
                      
                    
                  
                  
                  2025-01-12
                  N/A
                  N/A
                  N/A
                  N/A
                  -1965000.000000000000
                  USD
                
              
            
            -1965000.000000000000000
            USD
            1.750000000000
            USD
            2023-01-10
            XXXX
            -32830.630000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.077500 13-APR-2024
        000000000
        
          
        
        1210000.000000000000
        OU
        Notional Amount
        USD
        28440.560000000000
        0.0236712439
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-04-13
            4.840000000000
            USD
            0.000000000000
            USD
            1210000.000000000000
            USD
            28435.720000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.451000 13-APR-2027
        000000000
        
          
        
        620000.000000000000
        OU
        Notional Amount
        USD
        -22680.020000000000
        -0.0188767128
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2027-04-13
            5.480000000000
            USD
            0.000000000000
            USD
            620000.000000000000
            USD
            -22685.500000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: IFS 4.530000 15-JAN-2027
        000000000
        
          
        
        295000.000000000000
        OU
        Notional Amount
        
        17752.300000000000
        0.0147753428
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2027-01-15
            4.640000000000
            USD
            0.000000000000
            USD
            295000.000000000000
            GBP
            17747.660000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: IFS 4.245863 15-JAN-2032
        000000000
        
          
        
        295000.000000000000
        OU
        Notional Amount
        
        -22064.660000000000
        -0.0183645451
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
            
              
                
              
            
            2032-01-15
            8.290000000000
            USD
            0.000000000000
            USD
            295000.000000000000
            GBP
            -22072.950000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.331000 14-JAN-2027
        000000000
        
          
        
        120000.000000000000
        OU
        Notional Amount
        USD
        -4869.920000000000
        -0.0040532628
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2027-01-14
            1.060000000000
            USD
            0.000000000000
            USD
            120000.000000000000
            USD
            -4552.800000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -1965000.000000000000
        OU
        Notional Amount
        USD
        -1687.740000000000
        -0.0014047158
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.250000 16-JAN-2025
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2025-01-16
                  N/A
                  N/A
                  N/A
                  N/A
                  -1965000.000000000000
                  USD
                
              
            
            -1965000.000000000000000
            USD
            1.250000000000
            USD
            2023-01-12
            XXXX
            6231.210000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -1965000.000000000000
        OU
        Notional Amount
        USD
        -40565.260000000000
        -0.0337627023
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.750000 16-JAN-2025
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2025-01-16
                  N/A
                  N/A
                  N/A
                  N/A
                  -1965000.000000000000
                  USD
                
              
            
            -1965000.000000000000000
            USD
            1.750000000000
            USD
            2023-01-12
            XXXX
            -32646.310000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.330000 14-JAN-2027
        000000000
        
          
        
        820000.000000000000
        OU
        Notional Amount
        USD
        33315.200000000000
        0.0277284351
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2027-01-14
            7.240000000000
            USD
            0.000000000000
            USD
            820000.000000000000
            USD
            31135.430000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        980000.000000000000
        OU
        Notional Amount
        USD
        6234.170000000000
        0.0051887360
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Purchased
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.590000 16-JAN-2028
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2028-01-16
                  N/A
                  N/A
                  N/A
                  N/A
                  980000.000000000000
                  USD
                
              
            
            980000.000000000000000
            USD
            1.590000000000
            USD
            2023-01-12
            XXXX
            -8514.830000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.800000 15-JAN-2037
        000000000
        
          
        
        90000.000000000000
        OU
        Notional Amount
        USD
        -1983.600000000000
        -0.0016509618
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2037-01-15
            91.220000000000
            USD
            0.000000000000
            USD
            90000.000000000000
            USD
            -2074.820000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.685000 15-JAN-2057
        000000000
        
          
        
        10000.000000000000
        OU
        Notional Amount
        USD
        321.270000000000
        0.0002673949
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2057-01-15
            0.310000000000
            USD
            0.000000000000
            USD
            10000.000000000000
            USD
            320.960000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.860000 17-JAN-2039
        000000000
        
          
        
        170000.000000000000
        OU
        Notional Amount
        USD
        -3131.160000000000
        -0.0026060827
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2039-01-17
            2.720000000000
            USD
            0.000000000000
            USD
            170000.000000000000
            USD
            -3133.880000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.530000 15-JAN-2052
        000000000
        
          
        
        70000.000000000000
        OU
        Notional Amount
        USD
        -532.860000000000
        -0.0004435025
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2052-01-15
            17.020000000000
            USD
            0.000000000000
            USD
            70000.000000000000
            USD
            -549.880000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.670000 15-JAN-2055
        000000000
        
          
        
        21000.000000000000
        OU
        Notional Amount
        USD
        1001.890000000000
        0.0008338789
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2055-01-15
            0.000000000000
            USD
            -19.230000000000
            USD
            21000.000000000000
            USD
            1021.120000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.374000 20-JUL-2024
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        USD
        6971.190000000000
        0.0058021621
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-07-20
            1.270000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            USD
            6969.920000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -830000.000000000000
        OU
        Notional Amount
        USD
        -921.380000000000
        -0.0007668699
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.360000 20-JAN-2025
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2025-01-20
                  N/A
                  N/A
                  N/A
                  N/A
                  -830000.000000000000
                  USD
                
              
            
            -830000.000000000000000
            USD
            1.360000000000
            USD
            2023-01-18
            XXXX
            2448.420000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 16 YEAR
        000000000
        
          
        
        370000.000000000000
        OU
        Notional Amount
        USD
        38509.230000000000
        0.0320514566
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Call
            Purchased
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: OIS 2.824000 08-DEC-2048
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      United States SOFR Secured Overnight Financing Rate
                      CT1403743
                    
                  
                  
                  
                    
                      
                    
                  
                  2048-12-08
                  N/A
                  N/A
                  N/A
                  N/A
                  370000.000000000000
                  USD
                
              
            
            370000.000000000000000
            USD
            2.824000000000
            USD
            2038-12-06
            XXXX
            -2930.770000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 16 YEAR
        000000000
        
          
        
        370000.000000000000
        OU
        Notional Amount
        USD
        15193.090000000000
        0.0126452974
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Purchased
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: OIS 2.824000 08-DEC-2048
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      United States SOFR Secured Overnight Financing Rate
                      CT1403743
                    
                  
                  
                    
                      
                    
                  
                  
                  2048-12-08
                  N/A
                  N/A
                  N/A
                  N/A
                  370000.000000000000
                  USD
                
              
            
            370000.000000000000000
            USD
            2.824000000000
            USD
            2038-12-06
            XXXX
            619.090000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.479000 29-JUL-2024
        000000000
        
          
        
        305000.000000000000
        OU
        Notional Amount
        USD
        6316.120000000000
        0.0052569435
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-07-29
            1.260000000000
            USD
            0.000000000000
            USD
            305000.000000000000
            USD
            6314.860000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.093900 15-JAN-2052
        000000000
        
          
        
        55000.000000000000
        OU
        Notional Amount
        
        14514.380000000000
        0.0120804031
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
              
                
              
            
            
            2052-01-15
            2.740000000000
            USD
            0.000000000000
            USD
            55000.000000000000
            EUR
            14511.640000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.416300 31-JAN-2052
        000000000
        
          
        
        80000.000000000000
        OU
        Notional Amount
        USD
        -9915.820000000000
        -0.0082529948
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
            
              
                
              
            
            2052-01-31
            3.560000000000
            USD
            0.000000000000
            USD
            80000.000000000000
            USD
            -9919.380000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.471000 29-JUL-2024
        000000000
        
          
        
        305000.000000000000
        OU
        Notional Amount
        USD
        6363.730000000000
        0.0052965696
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-07-29
            1.260000000000
            USD
            0.000000000000
            USD
            305000.000000000000
            USD
            6362.470000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.845000 01-FEB-2037
        000000000
        
          
        
        730000.000000000000
        OU
        Notional Amount
        USD
        -13444.400000000000
        -0.0111898525
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2037-02-01
            11.670000000000
            USD
            0.000000000000
            USD
            730000.000000000000
            USD
            -13456.070000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 0 YEAR
        000000000
        
          
        
        840000.000000000000
        OU
        Notional Amount
        USD
        4568.090000000000
        0.0038020479
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Purchased
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 2.750000 03-AUG-2027
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2027-08-03
                  N/A
                  N/A
                  N/A
                  N/A
                  840000.000000000000
                  USD
                
              
            
            840000.000000000000000
            USD
            2.750000000000
            USD
            2022-08-01
            XXXX
            3749.090000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 2 YEAR
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        3186.430000000000
        0.0026520843
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Purchased
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.415000 24-JUL-2034
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2034-07-24
                  N/A
                  N/A
                  N/A
                  N/A
                  130000.000000000000
                  USD
                
              
            
            130000.000000000000000
            USD
            1.415000000000
            USD
            2024-07-22
            XXXX
            -436.670000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 2 YEAR
        000000000
        
          
        
        205000.000000000000
        OU
        Notional Amount
        USD
        6966.330000000000
        0.0057981171
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Purchased
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.740000 02-JUL-2034
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2034-07-02
                  N/A
                  N/A
                  N/A
                  N/A
                  205000.000000000000
                  USD
                
              
            
            205000.000000000000000
            USD
            1.740000000000
            USD
            2024-06-28
            XXXX
            -1621.850000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 2 YEAR
        000000000
        
          
        
        205000.000000000000
        OU
        Notional Amount
        USD
        13640.560000000000
        0.0113531176
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Purchased
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.710000 26-JUN-2034
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2034-06-26
                  N/A
                  N/A
                  N/A
                  N/A
                  205000.000000000000
                  USD
                
              
            
            205000.000000000000000
            USD
            1.710000000000
            USD
            2024-06-24
            XXXX
            3797.830000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 2 YEAR
        000000000
        
          
        
        205000.000000000000
        OU
        Notional Amount
        USD
        6719.510000000000
        0.0055926873
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Purchased
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.710000 26-JUN-2034
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2034-06-26
                  N/A
                  N/A
                  N/A
                  N/A
                  205000.000000000000
                  USD
                
              
            
            205000.000000000000000
            USD
            1.710000000000
            USD
            2024-06-24
            XXXX
            -1572.510000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 2 YEAR
        000000000
        
          
        
        205000.000000000000
        OU
        Notional Amount
        USD
        13346.850000000000
        0.0111086610
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Purchased
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.740000 02-JUL-2034
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2034-07-02
                  N/A
                  N/A
                  N/A
                  N/A
                  205000.000000000000
                  USD
                
              
            
            205000.000000000000000
            USD
            1.740000000000
            USD
            2024-06-28
            XXXX
            3737.310000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 2 YEAR
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        10790.050000000000
        0.0089806215
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Purchased
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.415000 24-JUL-2034
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2034-07-24
                  N/A
                  N/A
                  N/A
                  N/A
                  130000.000000000000
                  USD
                
              
            
            130000.000000000000000
            USD
            1.415000000000
            USD
            2024-07-22
            XXXX
            2702.290000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 2 YEAR
        000000000
        
          
        
        410000.000000000000
        OU
        Notional Amount
        USD
        31178.530000000000
        0.0259500722
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Purchased
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.540000 07-AUG-2034
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2034-08-07
                  N/A
                  N/A
                  N/A
                  N/A
                  410000.000000000000
                  USD
                
              
            
            410000.000000000000000
            USD
            1.540000000000
            USD
            2024-08-05
            XXXX
            8048.400000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 2 YEAR
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        3245.280000000000
        0.0027010655
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Call
            Purchased
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 1.420000 06-AUG-2034
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2034-08-06
                  N/A
                  N/A
                  N/A
                  N/A
                  130000.000000000000
                  USD
                
              
            
            130000.000000000000000
            USD
            1.420000000000
            USD
            2024-08-02
            XXXX
            -482.570000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 2 YEAR
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        10769.320000000000
        0.0089633678
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Purchased
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 1.420000 06-AUG-2034
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2034-08-06
                  N/A
                  N/A
                  N/A
                  N/A
                  130000.000000000000
                  USD
                
              
            
            130000.000000000000000
            USD
            1.420000000000
            USD
            2024-08-02
            XXXX
            2602.860000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.717500 06-FEB-2033
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        5387.120000000000
        0.0044837314
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2033-02-06
            2.070000000000
            USD
            0.000000000000
            USD
            130000.000000000000
            USD
            5385.050000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 0 YEAR
        000000000
        
          
        
        -160000.000000000000
        OU
        Notional Amount
        USD
        -5437.300000000000
        -0.0045254965
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK SECURITIES INC
                    9J6MBOOO7BECTDTUZW19
                    FSWP: OIS 1.950000 05-AUG-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      United States SOFR Secured Overnight Financing Rate
                      CT1403743
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-08-05
                  N/A
                  N/A
                  N/A
                  N/A
                  -160000.000000000000
                  USD
                
              
            
            -160000.000000000000000
            USD
            1.950000000000
            USD
            2022-08-03
            XXXX
            -3573.300000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 0 YEAR
        000000000
        
          
        
        -160000.000000000000
        OU
        Notional Amount
        USD
        -508.420000000000
        -0.0004231609
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK SECURITIES INC
                    9J6MBOOO7BECTDTUZW19
                    FSWP: OIS 1.450000 05-AUG-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      United States SOFR Secured Overnight Financing Rate
                      CT1403743
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-08-05
                  N/A
                  N/A
                  N/A
                  N/A
                  -160000.000000000000
                  USD
                
              
            
            -160000.000000000000000
            USD
            1.450000000000
            USD
            2022-08-03
            XXXX
            1355.580000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.618500 08-AUG-2024
        000000000
        
          
        
        610000.000000000000
        OU
        Notional Amount
        USD
        11136.820000000000
        0.0092692402
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-08-08
            2.540000000000
            USD
            0.000000000000
            USD
            610000.000000000000
            USD
            11134.280000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.735500 08-FEB-2032
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        4508.360000000000
        0.0037523343
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-02-08
            2.070000000000
            USD
            0.000000000000
            USD
            130000.000000000000
            USD
            4201.560000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 0 YEAR
        000000000
        
          
        
        -160000.000000000000
        OU
        Notional Amount
        USD
        -4605.340000000000
        -0.0038330513
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 2.050000 10-AUG-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-08-10
                  N/A
                  N/A
                  N/A
                  N/A
                  -160000.000000000000
                  USD
                
              
            
            -160000.000000000000000
            USD
            2.050000000000
            USD
            2022-08-08
            XXXX
            -2669.340000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 0 YEAR
        000000000
        
          
        
        -160000.000000000000
        OU
        Notional Amount
        USD
        -705.520000000000
        -0.0005872084
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.550000 10-AUG-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-08-10
                  N/A
                  N/A
                  N/A
                  N/A
                  -160000.000000000000
                  USD
                
              
            
            -160000.000000000000000
            USD
            1.550000000000
            USD
            2022-08-08
            XXXX
            1230.480000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.787000 10-FEB-2032
        000000000
        
          
        
        230000.000000000000
        OU
        Notional Amount
        USD
        6922.150000000000
        0.0057613458
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-02-10
            3.670000000000
            USD
            0.000000000000
            USD
            230000.000000000000
            USD
            6384.430000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.757500 12-AUG-2024
        000000000
        
          
        
        600000.000000000000
        OU
        Notional Amount
        USD
        9393.830000000000
        0.0078185395
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-08-12
            2.520000000000
            USD
            0.000000000000
            USD
            600000.000000000000
            USD
            9391.310000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.757000 12-AUG-2024
        000000000
        
          
        
        600000.000000000000
        OU
        Notional Amount
        USD
        9399.650000000000
        0.0078233835
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-08-12
            2.520000000000
            USD
            0.000000000000
            USD
            600000.000000000000
            USD
            9397.130000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.805500 12-AUG-2024
        000000000
        
          
        
        600000.000000000000
        OU
        Notional Amount
        USD
        8832.350000000000
        0.0073512164
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-08-12
            2.520000000000
            USD
            0.000000000000
            USD
            600000.000000000000
            USD
            8829.830000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.930500 12-AUG-2027
        000000000
        
          
        
        45000.000000000000
        OU
        Notional Amount
        USD
        -782.110000000000
        -0.0006509547
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2027-08-12
            0.410000000000
            USD
            0.000000000000
            USD
            45000.000000000000
            USD
            -782.520000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.937000 12-AUG-2024
        000000000
        
          
        
        600000.000000000000
        OU
        Notional Amount
        USD
        7294.130000000000
        0.0060709469
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-08-12
            2.520000000000
            USD
            0.000000000000
            USD
            600000.000000000000
            USD
            7291.610000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.943500 12-AUG-2024
        000000000
        
          
        
        600000.000000000000
        OU
        Notional Amount
        USD
        7218.110000000000
        0.0060076750
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-08-12
            2.520000000000
            USD
            0.000000000000
            USD
            600000.000000000000
            USD
            7215.590000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.934500 12-AUG-2027
        000000000
        
          
        
        245000.000000000000
        OU
        Notional Amount
        USD
        -4212.020000000000
        -0.0035056888
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2027-08-12
            2.200000000000
            USD
            0.000000000000
            USD
            245000.000000000000
            USD
            -4214.220000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.904000 14-FEB-2028
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        -2399.740000000000
        -0.0019973176
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2028-02-14
            1.170000000000
            USD
            0.000000000000
            USD
            130000.000000000000
            USD
            -2400.910000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.900000 15-AUG-2024
        000000000
        
          
        
        350000.000000000000
        OU
        Notional Amount
        USD
        4535.550000000000
        0.0037749647
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-08-15
            1.470000000000
            USD
            0.000000000000
            USD
            350000.000000000000
            USD
            4534.080000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 0 YEAR
        000000000
        
          
        
        -1030000.000000000000
        OU
        Notional Amount
        USD
        -10585.100000000000
        -0.0088100404
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 2.200000 15-AUG-2024
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2024-08-15
                  N/A
                  N/A
                  N/A
                  N/A
                  -1030000.000000000000
                  USD
                
              
            
            -1030000.000000000000000
            USD
            2.200000000000
            USD
            2022-08-11
            XXXX
            -6503.720000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 0 YEAR
        000000000
        
          
        
        -2775000.000000000000
        OU
        Notional Amount
        USD
        -4498.830000000000
        -0.0037444024
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.740000 17-NOV-2024
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2024-11-17
                  N/A
                  N/A
                  N/A
                  N/A
                  -2775000.000000000000
                  USD
                
              
            
            -2775000.000000000000000
            USD
            1.740000000000
            USD
            2022-11-15
            XXXX
            10798.360000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        410000.000000000000
        OU
        Notional Amount
        USD
        14778.250000000000
        0.0123000236
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Purchased
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 2.130000 17-FEB-2033
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2033-02-17
                  N/A
                  N/A
                  N/A
                  N/A
                  410000.000000000000
                  USD
                
              
            
            410000.000000000000000
            USD
            2.130000000000
            USD
            2023-02-15
            XXXX
            3103.650000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -1890000.000000000000
        OU
        Notional Amount
        USD
        -26841.970000000000
        -0.0223407281
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 2.250000 17-FEB-2025
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2025-02-17
                  N/A
                  N/A
                  N/A
                  N/A
                  -1890000.000000000000
                  USD
                
              
            
            -1890000.000000000000000
            USD
            2.250000000000
            USD
            2023-02-15
            XXXX
            -13639.260000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: EUR 0.643500 09-OCT-2026
        000000000
        
          
        
        510000.000000000000
        OU
        Notional Amount
        
        -7568.450000000000
        -0.0062992650
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Euribor 6 Month ACT/360
                EURIBOR65
              
            
            Y
            
            
              
                
              
            
            2026-10-09
            5.550000000000
            USD
            0.000000000000
            USD
            510000.000000000000
            EUR
            -7209.080000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 0 YEAR
        000000000
        
          
        
        -2775000.000000000000
        OU
        Notional Amount
        USD
        -4882.060000000000
        -0.0040633670
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.780000 17-NOV-2024
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2024-11-17
                  N/A
                  N/A
                  N/A
                  N/A
                  -2775000.000000000000
                  USD
                
              
            
            -2775000.000000000000000
            USD
            1.780000000000
            USD
            2022-11-15
            XXXX
            9686.690000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.955000 17-AUG-2032
        000000000
        
          
        
        5000.000000000000
        OU
        Notional Amount
        USD
        99.740000000000
        0.0000830142
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-08-17
            0.080000000000
            USD
            0.000000000000
            USD
            5000.000000000000
            USD
            99.660000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.895000 17-AUG-2024
        000000000
        
          
        
        450000.000000000000
        OU
        Notional Amount
        USD
        5915.660000000000
        0.0049236383
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-08-17
            1.900000000000
            USD
            0.000000000000
            USD
            450000.000000000000
            USD
            5913.760000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.961000 18-FEB-2027
        000000000
        
          
        
        665000.000000000000
        OU
        Notional Amount
        USD
        -22913.020000000000
        -0.0190706401
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
            
              
                
              
            
            2027-02-18
            7.680000000000
            USD
            0.000000000000
            USD
            665000.000000000000
            USD
            -22920.700000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.960000 18-AUG-2032
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        2536.960000000000
        0.0021115266
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-08-18
            2.080000000000
            USD
            0.000000000000
            USD
            130000.000000000000
            USD
            2534.880000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.890000 22-FEB-2025
        000000000
        
          
        
        205000.000000000000
        OU
        Notional Amount
        USD
        3139.100000000000
        0.0026126912
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2025-02-22
            0.870000000000
            USD
            0.000000000000
            USD
            205000.000000000000
            USD
            3138.230000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -1027000.000000000000
        OU
        Notional Amount
        USD
        -1490.280000000000
        -0.0012403687
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Call
            Written
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 1.390000 21-FEB-2025
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2025-02-21
                  N/A
                  N/A
                  N/A
                  N/A
                  -1027000.000000000000
                  USD
                
              
            
            -1027000.000000000000000
            USD
            1.390000000000
            USD
            2023-02-17
            XXXX
            2188.920000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -1542000.000000000000
        OU
        Notional Amount
        USD
        -19430.130000000000
        -0.0161718105
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 2.390000 21-FEB-2025
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2025-02-21
                  N/A
                  N/A
                  N/A
                  N/A
                  -1542000.000000000000
                  USD
                
              
            
            -1542000.000000000000000
            USD
            2.390000000000
            USD
            2023-02-17
            XXXX
            -12440.860000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.780000 15-FEB-2029
        000000000
        
          
        
        980000.000000000000
        OU
        Notional Amount
        USD
        26206.370000000000
        0.0218117145
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2029-02-15
            0.000000000000
            USD
            -1243.490000000000
            USD
            980000.000000000000
            USD
            27449.860000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.815000 15-NOV-2031
        000000000
        
          
        
        690000.000000000000
        OU
        Notional Amount
        USD
        -20691.230000000000
        -0.0172214313
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2031-11-15
            1731.410000000000
            USD
            0.000000000000
            USD
            690000.000000000000
            USD
            -22422.640000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.830000 15-NOV-2048
        000000000
        
          
        
        160000.000000000000
        OU
        Notional Amount
        USD
        6911.540000000000
        0.0057525150
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2048-11-15
            0.000000000000
            USD
            -739.630000000000
            USD
            160000.000000000000
            USD
            7651.170000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 3 YEAR
        000000000
        
          
        
        220000.000000000000
        OU
        Notional Amount
        USD
        5380.630000000000
        0.0044783297
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Call
            Purchased
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 1.232000 27-FEB-2035
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2035-02-27
                  N/A
                  N/A
                  N/A
                  N/A
                  220000.000000000000
                  USD
                
              
            
            220000.000000000000000
            USD
            1.232000000000
            USD
            2025-02-25
            XXXX
            -14.400000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 3 YEAR
        000000000
        
          
        
        220000.000000000000
        OU
        Notional Amount
        USD
        21034.310000000000
        0.0175069788
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Purchased
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 1.232000 27-FEB-2035
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2035-02-27
                  N/A
                  N/A
                  N/A
                  N/A
                  220000.000000000000
                  USD
                
              
            
            220000.000000000000000
            USD
            1.232000000000
            USD
            2025-02-25
            XXXX
            2593.600000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 3 YEAR
        000000000
        
          
        
        95000.000000000000
        OU
        Notional Amount
        USD
        9562.180000000000
        0.0079586581
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Purchased
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.162500 09-JUN-2035
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2035-06-09
                  N/A
                  N/A
                  N/A
                  N/A
                  95000.000000000000
                  USD
                
              
            
            95000.000000000000000
            USD
            1.162500000000
            USD
            2025-06-05
            XXXX
            1218.590000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 3 YEAR
        000000000
        
          
        
        95000.000000000000
        OU
        Notional Amount
        USD
        2028.070000000000
        0.0016879745
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Purchased
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.022500 06-JUN-2035
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2035-06-06
                  N/A
                  N/A
                  N/A
                  N/A
                  95000.000000000000
                  USD
                
              
            
            95000.000000000000000
            USD
            1.022500000000
            USD
            2025-06-04
            XXXX
            191.370000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 3 YEAR
        000000000
        
          
        
        95000.000000000000
        OU
        Notional Amount
        USD
        2327.920000000000
        0.0019375414
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Purchased
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.162500 09-JUN-2035
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2035-06-09
                  N/A
                  N/A
                  N/A
                  N/A
                  95000.000000000000
                  USD
                
              
            
            95000.000000000000000
            USD
            1.162500000000
            USD
            2025-06-05
            XXXX
            69.070000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 3 YEAR
        000000000
        
          
        
        95000.000000000000
        OU
        Notional Amount
        USD
        10374.050000000000
        0.0086343823
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Purchased
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.022500 06-JUN-2035
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2035-06-06
                  N/A
                  N/A
                  N/A
                  N/A
                  95000.000000000000
                  USD
                
              
            
            95000.000000000000000
            USD
            1.022500000000
            USD
            2025-06-04
            XXXX
            1271.830000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.985000 27-FEB-2025
        000000000
        
          
        
        305000.000000000000
        OU
        Notional Amount
        USD
        4099.810000000000
        0.0034122958
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2025-02-27
            1.310000000000
            USD
            0.000000000000
            USD
            305000.000000000000
            USD
            4098.500000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 0.331500 20-APR-2024
        000000000
        
          
        
        560000.000000000000
        OU
        Notional Amount
        USD
        -21648.970000000000
        -0.0180185639
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2024-04-20
            0.000000000000
            USD
            -14132.180000000000
            USD
            560000.000000000000
            USD
            -7516.790000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 2.823000 29-NOV-2024
        000000000
        
          
        
        1400000.000000000000
        OU
        Notional Amount
        USD
        18672.770000000000
        0.0155414553
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2024-11-29
            43278.070000000000
            USD
            0.000000000000
            USD
            1400000.000000000000
            USD
            -11301.070000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 0.190000 14-DEC-2023
        000000000
        
          
        
        963000.000000000000
        OU
        Notional Amount
        USD
        -31516.280000000000
        -0.0262311835
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2023-12-14
            0.000000000000
            USD
            -20944.420000000000
            USD
            963000.000000000000
            USD
            -10254.890000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.170000 20-JAN-2027
        000000000
        
          
        
        238000.000000000000
        OU
        Notional Amount
        USD
        -11432.830000000000
        -0.0095156110
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2027-01-20
            0.000000000000
            USD
            -6193.560000000000
            USD
            238000.000000000000
            USD
            -4723.940000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 0.621500 02-MAR-2023
        000000000
        
          
        
        475000.000000000000
        OU
        Notional Amount
        USD
        -4087.800000000000
        -0.0034022998
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2023-03-02
            0.000000000000
            USD
            -2022.770000000000
            USD
            475000.000000000000
            USD
            -1881.960000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 0.240000 24-JAN-2024
        000000000
        
          
        
        680000.000000000000
        OU
        Notional Amount
        USD
        -23481.270000000000
        -0.0195435979
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2024-01-24
            0.000000000000
            USD
            -15472.300000000000
            USD
            680000.000000000000
            USD
            -7801.960000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 0.092500 18-NOV-2023
        000000000
        
          
        
        380000.000000000000
        OU
        Notional Amount
        USD
        -12394.040000000000
        -0.0103156317
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2023-11-18
            0.000000000000
            USD
            -8439.220000000000
            USD
            380000.000000000000
            USD
            -3878.030000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 0.248000 12-JAN-2024
        000000000
        
          
        
        2490000.000000000000
        OU
        Notional Amount
        USD
        -83928.920000000000
        -0.0698545293
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2024-01-12
            0.000000000000
            USD
            -55538.170000000000
            USD
            2490000.000000000000
            USD
            -27389.790000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 0.240000 08-DEC-2023
        000000000
        
          
        
        960000.000000000000
        OU
        Notional Amount
        USD
        -30209.940000000000
        -0.0251439091
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2023-12-08
            0.000000000000
            USD
            -19743.730000000000
            USD
            960000.000000000000
            USD
            -9873.150000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 0.098000 02-JUN-2025
        000000000
        
          
        
        320000.000000000000
        OU
        Notional Amount
        USD
        -21863.460000000000
        -0.0181970852
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2025-06-02
            0.000000000000
            USD
            -15716.720000000000
            USD
            320000.000000000000
            USD
            -5928.300000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.895500 29-AUG-2024
        000000000
        
          
        
        305000.000000000000
        OU
        Notional Amount
        USD
        3988.760000000000
        0.0033198682
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-08-29
            1.300000000000
            USD
            0.000000000000
            USD
            305000.000000000000
            USD
            3987.460000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.891500 29-AUG-2024
        000000000
        
          
        
        265000.000000000000
        OU
        Notional Amount
        USD
        3485.730000000000
        0.0029011934
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-08-29
            1.130000000000
            USD
            0.000000000000
            USD
            265000.000000000000
            USD
            3484.600000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.721500 02-SEP-2024
        000000000
        
          
        
        305000.000000000000
        OU
        Notional Amount
        USD
        -5168.740000000000
        -0.0043019724
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2024-09-02
            1.300000000000
            USD
            0.000000000000
            USD
            305000.000000000000
            USD
            -5170.040000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: USD 1.600000 02-MAR-2032
        000000000
        
          
        
        240000.000000000000
        OU
        Notional Amount
        USD
        -16980.840000000000
        -0.0141332521
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2032-03-02
            0.000000000000
            USD
            -4338.990000000000
            USD
            240000.000000000000
            USD
            -12433.240000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.704000 02-SEP-2024
        000000000
        
          
        
        305000.000000000000
        OU
        Notional Amount
        USD
        -5272.780000000000
        -0.0043885655
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2024-09-02
            1.300000000000
            USD
            0.000000000000
            USD
            305000.000000000000
            USD
            -5274.080000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.684000 02-MAR-2032
        000000000
        
          
        
        65000.000000000000
        OU
        Notional Amount
        USD
        -2565.970000000000
        -0.0021356718
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2032-03-02
            1.040000000000
            USD
            0.000000000000
            USD
            65000.000000000000
            USD
            -2484.400000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.671000 02-MAR-2032
        000000000
        
          
        
        65000.000000000000
        OU
        Notional Amount
        USD
        -2641.740000000000
        -0.0021987356
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2032-03-02
            1.040000000000
            USD
            0.000000000000
            USD
            65000.000000000000
            USD
            -2560.880000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.522500 06-SEP-2024
        000000000
        
          
        
        620000.000000000000
        OU
        Notional Amount
        USD
        -12959.910000000000
        -0.0107866086
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2024-09-06
            2.650000000000
            USD
            0.000000000000
            USD
            620000.000000000000
            USD
            -12962.560000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.519500 06-SEP-2024
        000000000
        
          
        
        620000.000000000000
        OU
        Notional Amount
        USD
        -12996.060000000000
        -0.0108166965
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2024-09-06
            2.650000000000
            USD
            0.000000000000
            USD
            620000.000000000000
            USD
            -12998.710000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: EUR 0.644400 15-FEB-2031
        000000000
        
          
        
        660000.000000000000
        OU
        Notional Amount
        
        -32752.220000000000
        -0.0272598636
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Euribor 6 Month ACT/360
                EURIBOR65
              
            
            Y
            
            
              
                
              
            
            2031-02-15
            11.260000000000
            USD
            0.000000000000
            USD
            660000.000000000000
            EUR
            -32763.480000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.569000 03-MAR-2032
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        -6473.940000000000
        -0.0053882980
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2032-03-03
            2.080000000000
            USD
            0.000000000000
            USD
            130000.000000000000
            USD
            -6328.760000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.535000 03-MAR-2032
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        -6870.340000000000
        -0.0057182240
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2032-03-03
            2.080000000000
            USD
            0.000000000000
            USD
            130000.000000000000
            USD
            -6728.720000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.510000 03-MAR-2032
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        -7161.820000000000
        -0.0059608245
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2032-03-03
            2.080000000000
            USD
            0.000000000000
            USD
            130000.000000000000
            USD
            -7022.820000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.418000 06-SEP-2024
        000000000
        
          
        
        620000.000000000000
        OU
        Notional Amount
        USD
        -14220.560000000000
        -0.0118358550
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2024-09-06
            2.650000000000
            USD
            0.000000000000
            USD
            620000.000000000000
            USD
            -14223.210000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.462000 06-SEP-2024
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        USD
        -6844.890000000000
        -0.0056970418
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2024-09-06
            1.330000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            USD
            -6846.220000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.501000 06-SEP-2027
        000000000
        
          
        
        250000.000000000000
        OU
        Notional Amount
        USD
        9471.500000000000
        0.0078831847
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2027-09-06
            2.280000000000
            USD
            0.000000000000
            USD
            250000.000000000000
            USD
            9469.220000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.498500 04-MAR-2027
        000000000
        
          
        
        150000.000000000000
        OU
        Notional Amount
        USD
        5019.950000000000
        0.0041781336
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2027-03-04
            1.360000000000
            USD
            0.000000000000
            USD
            150000.000000000000
            USD
            4863.220000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.492500 04-MAR-2027
        000000000
        
          
        
        120000.000000000000
        OU
        Notional Amount
        USD
        4049.650000000000
        0.0033705473
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2027-03-04
            1.090000000000
            USD
            0.000000000000
            USD
            120000.000000000000
            USD
            3924.830000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.537000 04-MAR-2027
        000000000
        
          
        
        120000.000000000000
        OU
        Notional Amount
        USD
        3799.700000000000
        0.0031625125
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2027-03-04
            1.090000000000
            USD
            0.000000000000
            USD
            120000.000000000000
            USD
            3670.730000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.566000 04-MAR-2027
        000000000
        
          
        
        120000.000000000000
        OU
        Notional Amount
        USD
        3636.820000000000
        0.0030269465
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2027-03-04
            1.090000000000
            USD
            0.000000000000
            USD
            120000.000000000000
            USD
            3505.140000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.558500 04-MAR-2027
        000000000
        
          
        
        120000.000000000000
        OU
        Notional Amount
        USD
        3678.940000000000
        0.0030620032
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2027-03-04
            1.090000000000
            USD
            0.000000000000
            USD
            120000.000000000000
            USD
            3547.960000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 0.248000 04-MAR-2024
        000000000
        
          
        
        1850000.000000000000
        OU
        Notional Amount
        USD
        -68752.830000000000
        -0.0572233811
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2024-03-04
            0.000000000000
            USD
            -41809.230000000000
            USD
            1850000.000000000000
            USD
            -26826.760000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.752500 04-MAR-2032
        000000000
        
          
        
        65000.000000000000
        OU
        Notional Amount
        USD
        2167.690000000000
        0.0018041810
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-03-04
            1.040000000000
            USD
            0.000000000000
            USD
            65000.000000000000
            USD
            2086.480000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.739500 04-MAR-2032
        000000000
        
          
        
        65000.000000000000
        OU
        Notional Amount
        USD
        2243.490000000000
        0.0018672698
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-03-04
            1.040000000000
            USD
            0.000000000000
            USD
            65000.000000000000
            USD
            2162.940000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: USD 0.518000 07-MAR-2024
        000000000
        
          
        
        1095000.000000000000
        OU
        Notional Amount
        USD
        -40037.570000000000
        -0.0333235029
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2024-03-07
            0.000000000000
            USD
            -3062.870000000000
            USD
            1095000.000000000000
            USD
            -37078.210000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.712500 07-SEP-2024
        000000000
        
          
        
        300000.000000000000
        OU
        Notional Amount
        USD
        -5183.220000000000
        -0.0043140242
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2024-09-07
            1.290000000000
            USD
            0.000000000000
            USD
            300000.000000000000
            USD
            -5184.510000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.613000 08-MAR-2032
        000000000
        
          
        
        65000.000000000000
        OU
        Notional Amount
        USD
        -2983.820000000000
        -0.0024834508
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2032-03-08
            1.040000000000
            USD
            0.000000000000
            USD
            65000.000000000000
            USD
            -2923.030000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.603000 08-MAR-2032
        000000000
        
          
        
        65000.000000000000
        OU
        Notional Amount
        USD
        -3042.190000000000
        -0.0025320325
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2032-03-08
            1.040000000000
            USD
            0.000000000000
            USD
            65000.000000000000
            USD
            -2981.840000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.611500 07-SEP-2024
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        USD
        -5966.760000000000
        -0.0049661691
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2024-09-07
            1.340000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            USD
            -5968.100000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.533000 08-MAR-2032
        000000000
        
          
        
        65000.000000000000
        OU
        Notional Amount
        USD
        -3334.020000000000
        -0.0027749243
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2032-03-08
            1.040000000000
            USD
            0.000000000000
            USD
            65000.000000000000
            USD
            -3276.700000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: EUR 0.690000 15-FEB-2031
        000000000
        
          
        
        330000.000000000000
        OU
        Notional Amount
        
        -14982.820000000000
        -0.0124702884
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Euribor 6 Month ACT/360
                EURIBOR65
              
            
            Y
            
            
              
                
              
            
            2031-02-15
            0.000000000000
            USD
            -28.800000000000
            USD
            330000.000000000000
            EUR
            -14954.020000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.615000 07-SEP-2027
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        4228.670000000000
        0.0035195467
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2027-09-07
            1.190000000000
            USD
            0.000000000000
            USD
            130000.000000000000
            USD
            4227.480000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.710000 09-DEC-2024
        000000000
        
          
        
        1650000.000000000000
        OU
        Notional Amount
        USD
        -30845.740000000000
        -0.0256730892
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2024-12-09
            7.140000000000
            USD
            0.000000000000
            USD
            1650000.000000000000
            USD
            -30852.880000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.628300 15-NOV-2031
        000000000
        
          
        
        420000.000000000000
        OU
        Notional Amount
        USD
        -19244.650000000000
        -0.0160174344
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2031-11-15
            6.740000000000
            USD
            0.000000000000
            USD
            420000.000000000000
            USD
            -19251.390000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: USD 1.671500 10-MAR-2032
        000000000
        
          
        
        80000.000000000000
        OU
        Notional Amount
        USD
        3253.830000000000
        0.0027081817
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2032-03-10
            1.280000000000
            USD
            0.000000000000
            USD
            80000.000000000000
            USD
            3180.540000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.733000 11-MAR-2032
        000000000
        
          
        
        180000.000000000000
        OU
        Notional Amount
        USD
        6327.850000000000
        0.0052667064
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-03-11
            2.890000000000
            USD
            0.000000000000
            USD
            180000.000000000000
            USD
            6164.600000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.760500 11-MAR-2032
        000000000
        
          
        
        32000.000000000000
        OU
        Notional Amount
        USD
        1045.870000000000
        0.0008704837
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-03-11
            0.520000000000
            USD
            0.000000000000
            USD
            32000.000000000000
            USD
            1016.330000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.886600 13-SEP-2024
        000000000
        
          
        
        320000.000000000000
        OU
        Notional Amount
        USD
        4482.750000000000
        0.0037310190
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-13
            1.390000000000
            USD
            0.000000000000
            USD
            320000.000000000000
            USD
            4481.360000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.827010 15-AUG-2047
        000000000
        
          
        
        170000.000000000000
        OU
        Notional Amount
        USD
        7725.550000000000
        0.0064300203
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2047-08-15
            4.710000000000
            USD
            0.000000000000
            USD
            170000.000000000000
            USD
            7720.840000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.801960 15-NOV-2031
        000000000
        
          
        
        420000.000000000000
        OU
        Notional Amount
        USD
        -13059.100000000000
        -0.0108691650
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2031-11-15
            6.750000000000
            USD
            0.000000000000
            USD
            420000.000000000000
            USD
            -13065.850000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.765500 11-MAR-2032
        000000000
        
          
        
        33000.000000000000
        OU
        Notional Amount
        USD
        1063.730000000000
        0.0008853487
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-03-11
            0.530000000000
            USD
            0.000000000000
            USD
            33000.000000000000
            USD
            1033.170000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.893500 13-SEP-2024
        000000000
        
          
        
        630000.000000000000
        OU
        Notional Amount
        USD
        8740.860000000000
        0.0072750687
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-13
            2.730000000000
            USD
            0.000000000000
            USD
            630000.000000000000
            USD
            8738.130000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.809500 14-MAR-2032
        000000000
        
          
        
        65000.000000000000
        OU
        Notional Amount
        USD
        1839.760000000000
        0.0015312430
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-03-14
            1.040000000000
            USD
            0.000000000000
            USD
            65000.000000000000
            USD
            1787.440000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.810500 14-MAR-2032
        000000000
        
          
        
        90000.000000000000
        OU
        Notional Amount
        USD
        2539.260000000000
        0.0021134409
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-03-14
            1.440000000000
            USD
            0.000000000000
            USD
            90000.000000000000
            USD
            2466.780000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: IFS 2.419000 15-MAR-2052
        000000000
        
          
        
        55000.000000000000
        OU
        Notional Amount
        
        5184.240000000000
        0.0043148732
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
              
                
              
            
            
            2052-03-15
            2.710000000000
            USD
            0.000000000000
            USD
            55000.000000000000
            EUR
            5181.530000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.693750 14-MAR-2052
        000000000
        
          
        
        75000.000000000000
        OU
        Notional Amount
        USD
        -1492.330000000000
        -0.0012420750
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
            
              
                
              
            
            2052-03-14
            3.350000000000
            USD
            0.000000000000
            USD
            75000.000000000000
            USD
            -1495.680000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.839500 14-MAR-2032
        000000000
        
          
        
        65000.000000000000
        OU
        Notional Amount
        USD
        1664.350000000000
        0.0013852482
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-03-14
            1.040000000000
            USD
            0.000000000000
            USD
            65000.000000000000
            USD
            1611.060000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.931000 13-SEP-2024
        000000000
        
          
        
        630000.000000000000
        OU
        Notional Amount
        USD
        8281.400000000000
        0.0068926575
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-13
            2.730000000000
            USD
            0.000000000000
            USD
            630000.000000000000
            USD
            8278.670000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.743500 14-MAR-2027
        000000000
        
          
        
        240000.000000000000
        OU
        Notional Amount
        USD
        -5291.260000000000
        -0.0044039465
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2027-03-14
            2.760000000000
            USD
            0.000000000000
            USD
            240000.000000000000
            USD
            -5112.600000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.729500 14-MAR-2027
        000000000
        
          
        
        60000.000000000000
        OU
        Notional Amount
        USD
        -1362.360000000000
        -0.0011339002
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2027-03-14
            0.550000000000
            USD
            0.000000000000
            USD
            60000.000000000000
            USD
            -1317.970000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.753500 15-MAR-2027
        000000000
        
          
        
        60000.000000000000
        OU
        Notional Amount
        USD
        -1294.600000000000
        -0.0010775031
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2027-03-15
            0.550000000000
            USD
            0.000000000000
            USD
            60000.000000000000
            USD
            -1252.340000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.925200 16-MAR-2032
        000000000
        
          
        
        65000.000000000000
        OU
        Notional Amount
        USD
        1163.680000000000
        0.0009685376
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            1.050000000000
            USD
            0.000000000000
            USD
            65000.000000000000
            USD
            1114.360000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.070800 16-SEP-2024
        000000000
        
          
        
        157000.000000000000
        OU
        Notional Amount
        USD
        1650.020000000000
        0.0013733213
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-16
            0.680000000000
            USD
            0.000000000000
            USD
            157000.000000000000
            USD
            1649.340000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.080000 16-SEP-2024
        000000000
        
          
        
        158000.000000000000
        OU
        Notional Amount
        USD
        1632.140000000000
        0.0013584396
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-16
            0.690000000000
            USD
            0.000000000000
            USD
            158000.000000000000
            USD
            1631.450000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.031000 16-SEP-2027
        000000000
        
          
        
        260000.000000000000
        OU
        Notional Amount
        USD
        -3404.410000000000
        -0.0028335103
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2027-09-16
            2.380000000000
            USD
            0.000000000000
            USD
            260000.000000000000
            USD
            -3406.790000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.974000 16-MAR-2032
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        1756.560000000000
        0.0014619951
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            2.090000000000
            USD
            0.000000000000
            USD
            130000.000000000000
            USD
            1655.120000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.122600 16-SEP-2024
        000000000
        
          
        
        157000.000000000000
        OU
        Notional Amount
        USD
        1491.880000000000
        0.0012417004
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-16
            0.680000000000
            USD
            0.000000000000
            USD
            157000.000000000000
            USD
            1491.200000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.097900 19-SEP-2024
        000000000
        
          
        
        410000.000000000000
        OU
        Notional Amount
        USD
        4126.240000000000
        0.0034342936
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-19
            1.790000000000
            USD
            0.000000000000
            USD
            410000.000000000000
            USD
            4124.450000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.070000 19-SEP-2024
        000000000
        
          
        
        315000.000000000000
        OU
        Notional Amount
        USD
        3340.980000000000
        0.0027807171
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-19
            1.380000000000
            USD
            0.000000000000
            USD
            315000.000000000000
            USD
            3339.600000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.985000 19-SEP-2027
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        -1987.800000000000
        -0.0016544575
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2027-09-19
            1.190000000000
            USD
            0.000000000000
            USD
            130000.000000000000
            USD
            -1988.990000000000
          
        
        
          N
          N
          N
        
      
      
        CANADA (GOVERNMENT OF)
        4BFD7AQU0A75QLAHK410
        CANADA (GOVERNMENT OF)
        135087G99
        
          
          
        
        218006.100000000000
        PA
        
        171905.310000000000
        0.1430777915
        Long
        DBT
        NUSS
        CA
        
        N
        
        2
        
          2050-12-01
          Fixed
          0.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.082000 19-SEP-2024
        000000000
        
          
        
        315000.000000000000
        OU
        Notional Amount
        USD
        3267.530000000000
        0.0027195843
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-19
            1.380000000000
            USD
            0.000000000000
            USD
            315000.000000000000
            USD
            3266.150000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.008000 19-SEP-2027
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        -1847.340000000000
        -0.0015375518
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2027-09-19
            1.190000000000
            USD
            0.000000000000
            USD
            130000.000000000000
            USD
            -1848.530000000000
          
        
        
          N
          N
          N
        
      
      
        CANADA (GOVERNMENT OF)
        4BFD7AQU0A75QLAHK410
        CANADA (GOVERNMENT OF)
        135087M43
        
          
          
        
        36410.850000000000
        PA
        
        26604.530000000000
        0.0221431054
        Long
        DBT
        NUSS
        CA
        
        N
        
        2
        
          2054-12-01
          Fixed
          0.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN GOVERNMENT BOND
        N/A
        CANADA  4.25% 12/01/26 (FTIPS)
        135087VS0
        
          
          
        
        239889.450000000000
        PA
        
        234572.320000000000
        0.1952359092
        Long
        DBT
        NUSS
        CA
        
        N
        
        2
        
          2026-12-01
          Fixed
          4.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN GOVERNMENT BOND
        N/A
        CANADA 4.00% 12/01/2031 (FTIPS)
        135087WV2
        
          
          
        
        325954.100000000000
        PA
        
        356654.190000000000
        0.2968453612
        Long
        DBT
        NUSS
        CA
        
        N
        
        2
        
          2031-12-01
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN GOVERNMENT BOND
        N/A
        CANADA 3.00% 12/01/2036 (FTIPS)
        135087XQ2
        
          
          
        
        246888.250000000000
        PA
        
        269208.460000000000
        0.2240637704
        Long
        DBT
        NUSS
        CA
        
        N
        
        2
        
          2036-12-01
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.072000 19-SEP-2024
        000000000
        
          
        
        315000.000000000000
        OU
        Notional Amount
        USD
        3328.760000000000
        0.0027705464
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-19
            1.380000000000
            USD
            0.000000000000
            USD
            315000.000000000000
            USD
            3327.380000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 1.996500 19-SEP-2027
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        -1917.570000000000
        -0.0015960047
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2027-09-19
            1.190000000000
            USD
            0.000000000000
            USD
            130000.000000000000
            USD
            -1918.760000000000
          
        
        
          N
          N
          N
        
      
      
        CANADIAN GOVERNMENT BOND
        N/A
        CANADA 2.00% 12/01/2041 (FTIPS)
        135087YK4
        
          
          
        
        280882.450000000000
        PA
        
        285013.920000000000
        0.2372187469
        Long
        DBT
        NUSS
        CA
        
        N
        
        2
        
          2041-12-01
          Fixed
          2.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN GOVERNMENT BOND
        N/A
        CANADA 1.50% 12/01/2044 (FTIPS)
        135087ZH0
        
          
          
        
        370791.400000000000
        PA
        
        353783.830000000000
        0.2944563438
        Long
        DBT
        NUSS
        CA
        
        N
        
        2
        
          2044-12-01
          Fixed
          1.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: EUR 0.963000 18-MAR-2052
        000000000
        
          
        
        315000.000000000000
        OU
        Notional Amount
        
        5002.760000000000
        0.0041638263
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Euribor 6 Month ACT/360
                EURIBOR65
              
            
            Y
            
              
                
              
            
            
            2052-03-18
            0.000000000000
            USD
            -2043.490000000000
            USD
            315000.000000000000
            EUR
            6864.290000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: EUR 0.768000 18-MAR-2027
        000000000
        
          
        
        1050000.000000000000
        OU
        Notional Amount
        
        11585.410000000000
        0.0096426043
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Euribor 6 Month ACT/360
                EURIBOR65
              
            
            Y
            
              
                
              
            
            
            2027-03-18
            0.000000000000
            USD
            -1032.390000000000
            USD
            1050000.000000000000
            EUR
            12098.110000000000
          
        
        
          N
          N
          N
        
      
      
        COLOMBIA (REPUBLIC OF)
        N/A
        COLOMBIA (REPUBLIC OF)
        195325DR3
        
          
          
        
        100000.000000000000
        PA
        USD
        86058.920000000000
        0.0716273407
        Long
        DBT
        NUSS
        CO
        
        N
        
        2
        
          2030-01-30
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLUMBIA SHORT TERM CASH FUND
        N/A
        COLUMBIA SHORT TERM CASH FUND
        19766H239
        
          
        
        3026867.582000000000
        NS
        USD
        3025656.830000000000
        2.5182718152
        Long
        STIV
        CORP
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        PANAMA REPUBLIC OF (GOVERNMENT)
        N/A
        PANAMA (REPUBLIC OF)
        698299BM5
        
          
          
        
        75000.000000000000
        PA
        USD
        73615.810000000000
        0.0612708677
        Long
        DBT
        NUSS
        PA
        
        N
        
        2
        
          2056-04-01
          Fixed
          4.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII 3.625 04/15/28 (TIPS)
        912810FD5
        
          
          
        
        71269.070000000000
        PA
        USD
        90065.390000000000
        0.0749619491
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2028-04-15
          Fixed
          3.625000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 2.231500 24-MAR-2032
        000000000
        
          
        
        60000.000000000000
        OU
        Notional Amount
        USD
        -580.850000000000
        -0.0004834448
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-03-24
            0.970000000000
            USD
            0.000000000000
            USD
            60000.000000000000
            USD
            -607.900000000000
          
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII 3.375 04/15/32 (TIPS)
        912810FQ6
        
          
          
        
        262932.380000000000
        PA
        USD
        369829.200000000000
        0.3078109988
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2032-04-15
          Fixed
          3.375000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII 2.375 01/15/25 (TIPS)
        912810FR4
        
          
          
        
        275933.050000000000
        PA
        USD
        305681.790000000000
        0.2544207355
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2025-01-15
          Fixed
          2.375000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII 2.0 01/15/26 (TIPS)
        912810FS2
        
          
          
        
        1352776.600000000000
        PA
        USD
        1511353.850000000000
        1.2579086186
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2026-01-15
          Fixed
          2.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII 2.375 01/15/27 (TIPS)
        912810PS1
        
          
          
        
        982868.700000000000
        PA
        USD
        1136200.240000000000
        0.9456660823
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2027-01-15
          Fixed
          2.375000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII 1.75 01/15/28 (TIPS)
        912810PV4
        
          
          
        
        751531.200000000000
        PA
        USD
        857045.850000000000
        0.7133242564
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2028-01-15
          Fixed
          1.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII 2.5 01/15/29 (TIPS)
        912810PZ5
        
          
          
        
        723493.225000000000
        PA
        USD
        878462.600000000000
        0.7311495423
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2029-01-15
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII 2.125 02/15/40 (TIPS)
        912810QF8
        
          
          
        
        608760.360000000000
        PA
        USD
        856970.920000000000
        0.7132618917
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2040-02-15
          Fixed
          2.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII 2.125 02/15/41 (TIPS)
        912810QP6
        
          
          
        
        937195.900000000000
        PA
        USD
        1324285.710000000000
        1.1022107153
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2041-02-15
          Fixed
          2.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .75 02/15/42 (TIPS)
        912810QV3
        
          
          
        
        1031466.670000000000
        PA
        USD
        1176455.350000000000
        0.9791706450
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2042-02-15
          Fixed
          0.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .625 02/15/2043 (TIPS)
        912810RA8
        
          
          
        
        959945.100000000000
        PA
        USD
        1069851.420000000000
        0.8904435727
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2043-02-15
          Fixed
          0.625000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII 1.375 02/15/2044 (TIPS)
        912810RF7
        
          
          
        
        741899.100000000000
        PA
        USD
        950117.940000000000
        0.7907886994
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2044-02-15
          Fixed
          1.375000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .75% 02/15/2045 (TIPS)
        912810RL4
        
          
          
        
        847690.300000000000
        PA
        USD
        970660.150000000000
        0.8078861005
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2045-02-15
          Fixed
          0.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII 1.0 02/15/2046 (TIPS)
        912810RR1
        
          
          
        
        658540.800000000000
        PA
        USD
        801023.220000000000
        0.6666962949
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2046-02-15
          Fixed
          1.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .875 02/15/2047 (TIPS)
        912810RW0
        
          
          
        
        663873.300000000000
        PA
        USD
        792972.190000000000
        0.6599953757
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2047-02-15
          Fixed
          0.875000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII 1.0 02/15/2048 (TIPS)
        912810SB5
        
          
          
        
        701167.650000000000
        PA
        USD
        868717.840000000000
        0.7230389217
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2048-02-15
          Fixed
          1.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        TREASURY (CPI) NOTE
        912810SG4
        
          
          
        
        430152.800000000000
        PA
        USD
        537393.970000000000
        0.4472761335
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2049-02-15
          Fixed
          1.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .25 02/15/2050 (TIPS)
        912810SM1
        
          
          
        
        705346.200000000000
        PA
        USD
        740994.390000000000
        0.6167339498
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2050-02-15
          Fixed
          0.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        TREASURY (CPI) NOTE
        912810SV1
        
          
          
        
        858504.600000000000
        PA
        USD
        879902.110000000000
        0.7323476548
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2051-02-15
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        TREASURY BOND
        912810TA6
        
          
          
        
        1755000.000000000000
        PA
        USD
        1519994.530000000000
        1.2651003069
        Long
        DBT
        UST
        US
        
        N
        
        1
        
          2041-08-15
          Fixed
          1.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        TREASURY (CPI) NOTE
        912810TE8
        
          
          
        
        75747.000000000000
        PA
        USD
        78594.820000000000
        0.0654149268
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2052-02-15
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .375 07/15/2027 (TIPS)
        9128282L3
        
          
          
        
        1275756.300000000000
        PA
        USD
        1353961.400000000000
        1.1269099650
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2027-07-15
          Fixed
          0.375000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .50 01/15/2028 (TIPS)
        9128283R9
        
          
          
        
        1862302.881000000000
        PA
        USD
        1985131.830000000000
        1.6522367928
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2028-01-15
          Fixed
          0.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .625 04/15/2023 (TIPS)
        9128284H0
        
          
          
        
        1596615.822000000000
        PA
        USD
        1662390.290000000000
        1.3836171279
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2023-04-15
          Fixed
          0.625000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .875 01/15/2029 (TIPS)
        9128285W6
        
          
          
        
        2068901.445000000000
        PA
        USD
        2277311.840000000000
        1.8954199182
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2029-01-15
          Fixed
          0.875000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .50 04/15/2024 (TIPS)
        9128286N5
        
          
          
        
        1276377.300000000000
        PA
        USD
        1338717.210000000000
        1.1142221369
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2024-04-15
          Fixed
          0.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .25 07/15/2029 (TIPS)
        9128287D6
        
          
          
        
        1884990.800000000000
        PA
        USD
        2006850.630000000000
        1.6703134767
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2029-07-15
          Fixed
          0.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .625 01/15/2024 (TIPS)
        912828B25
        
          
          
        
        1764017.520000000000
        PA
        USD
        1852107.280000000000
        1.5415196845
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2024-01-15
          Fixed
          0.625000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .25 01/15/25 (TIPS)
        912828H45
        
          
          
        
        2635162.200000000000
        PA
        USD
        2759038.410000000000
        2.2963637502
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2025-01-15
          Fixed
          0.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .625 01/15/2026 (TIPS)
        912828N71
        
          
          
        
        709938.000000000000
        PA
        USD
        755061.930000000000
        0.6284424454
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2026-01-15
          Fixed
          0.625000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .125 07/15/2026 (TIPS)
        912828S50
        
          
          
        
        1479039.510000000000
        PA
        USD
        1550175.870000000000
        1.2902204121
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2026-07-15
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .375 01/158/2027 (TIPS)
        912828V49
        
          
          
        
        979297.046000000000
        PA
        USD
        1034783.930000000000
        0.8612566964
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2027-01-15
          Fixed
          0.375000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .375 07/15/23 (TIPS)
        912828VM9
        
          
          
        
        1424482.501000000000
        PA
        USD
        1492961.360000000000
        1.2426004419
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2023-07-15
          Fixed
          0.375000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .125 07/15/2024 (TIPS)
        912828WU0
        
          
          
        
        2379940.500000000000
        PA
        USD
        2492178.800000000000
        2.0742549414
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2024-07-15
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .375 07/15/2025 (TIPS)
        912828XL9
        
          
          
        
        1416744.200000000000
        PA
        USD
        1495960.250000000000
        1.2450964356
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2025-07-15
          Fixed
          0.375000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII 07/15/2028 .75 (TIPS)
        912828Y38
        
          
          
        
        1684540.160000000000
        PA
        USD
        1838190.290000000000
        1.5299364926
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2028-07-15
          Fixed
          0.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .125 10/15/2024 (TIPS)
        912828YL8
        
          
          
        
        252038.600000000000
        PA
        USD
        263163.840000000000
        0.2190327979
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2024-10-15
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .125 01/15/2030 (TIPS)
        912828Z37
        
          
          
        
        1458821.250000000000
        PA
        USD
        1535560.370000000000
        1.2780558463
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2030-01-15
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .125 04/15/2025 (TIPS)
        912828ZJ2
        
          
          
        
        770078.375000000000
        PA
        USD
        802996.490000000000
        0.6683386590
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2025-04-15
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .125 07/15/2030 (TIPS)
        912828ZZ6
        
          
          
        
        1359734.400000000000
        PA
        USD
        1440611.250000000000
        1.1990291403
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2030-07-15
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII .125 10/15/2025 (TIPS)
        91282CAQ4
        
          
          
        
        1316513.250000000000
        PA
        USD
        1377598.620000000000
        1.1465833610
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2025-10-15
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        US TII 01/15/2031 .125 (TIPS)
        91282CBF7
        
          
          
        
        1387838.550000000000
        PA
        USD
        1468633.240000000000
        1.2223520059
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2031-01-15
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        TREASURY (CPI) NOTE
        91282CCA7
        
          
          
        
        1409758.900000000000
        PA
        USD
        1470063.950000000000
        1.2235427941
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2026-04-15
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        TREASURY (CPI) NOTE
        91282CCM1
        
          
          
        
        1819980.300000000000
        PA
        USD
        1934587.280000000000
        1.6101682693
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2031-07-15
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        TREASURY (CPI) NOTE
        91282CDC2
        
          
          
        
        751075.100000000000
        PA
        USD
        787285.600000000000
        0.6552623937
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2026-10-15
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        TREASURY (CPI) NOTE
        91282CDX6
        
          
          
        
        608538.000000000000
        PA
        USD
        646960.520000000000
        0.5384690117
        Long
        DBT
        UST
        US
        
        N
        
        2
        
          2032-01-15
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (REPUBLIC OF)
        969500KCGF3SUYJHPV70
        FRANCE 3.40% 7/25/2029 (FTIPS)
        000000000
        
          
          
        
        285000.000000000000
        PA
        
        602575.770000000000
        0.5015273256
        Long
        DBT
        NUSS
        FR
        
        N
        
        2
        
          2029-07-25
          Fixed
          3.400000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK 2.00% 1/26/2035 (FTIPS)
        000000000
        
          
          
        
        320000.000000000000
        PA
        
        1271557.050000000000
        1.0583243442
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2035-01-26
          Fixed
          2.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (REPUBLIC OF)
        969500KCGF3SUYJHPV70
        FRANCE 3.15% 7/25/2032 (FTIPS)
        000000000
        
          
          
        
        476378.000000000000
        PA
        
        814467.360000000000
        0.6778859310
        Long
        DBT
        NUSS
        FR
        
        N
        
        2
        
          2032-07-25
          Fixed
          3.150000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUSTRALIA GOVERNMENT BOND
        N/A
        AUSTRALIA 2.5% 09/20/2030 (FTIPS)
        000000000
        
          
          
        
        295000.000000000000
        PA
        
        332445.110000000000
        0.2766960028
        Long
        DBT
        NUSS
        AU
        
        N
        
        2
        
          2030-09-20
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITALY BUONI POLIENNALI DEL TESORO
        N/A
        ITALY 3.10% 9/15/2026 (FTIPS)
        000000000
        
          
          
        
        449479.800000000000
        PA
        
        613419.310000000000
        0.5105524671
        Long
        DBT
        NUSS
        IT
        
        N
        
        2
        
          2026-09-15
          Fixed
          3.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DENMARK I/L GOVERNMENT BOND
        N/A
        DENMARK .10% 11/15/2023 (FTIPS)
        000000000
        
          
          
        
        1570000.000000000000
        PA
        
        283316.100000000000
        0.2358056414
        Long
        DBT
        NUSS
        DK
        
        N
        
        2
        
          2023-11-15
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW ZEALAND GOVERNMENT BOND
        N/A
        NEW ZEALAND 2% 09/20/2025 (FTIPS)
        000000000
        
          
          
        
        504000.000000000000
        PA
        
        430435.600000000000
        0.3582540588
        Long
        DBT
        NUSS
        NZ
        
        N
        
        2
        
          2025-09-20
          Fixed
          2.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (REPUBLIC OF)
        969500KCGF3SUYJHPV70
        FRANCE .25% 7/25/2024 (FTIPS)
        000000000
        
          
          
        
        195704.250000000000
        PA
        
        239000.520000000000
        0.1989215259
        Long
        DBT
        NUSS
        FR
        
        N
        
        2
        
          2024-07-25
          Fixed
          0.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK .375% 03/22/2062 (FTIPS)
        000000000
        
          
          
        
        518656.600000000000
        PA
        
        1561288.670000000000
        1.2994696603
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2062-03-22
          Fixed
          0.375000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHLAND I/L BOND
        N/A
        GERMANY .10% 4/15/2023 (FTIPS)
        000000000
        
          
          
        
        1681337.750000000000
        PA
        
        1978709.450000000000
        1.6468914085
        Long
        DBT
        NUSS
        DE
        
        N
        
        2
        
          2023-04-15
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK .125% 03/22/2044 (FTIPS)
        000000000
        
          
          
        
        648707.400000000000
        PA
        
        1374414.880000000000
        1.1439335157
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2044-03-22
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK .25% 03/22/2052 (FTIPS)
        000000000
        
          
          
        
        498765.200000000000
        PA
        
        1239303.270000000000
        1.0314793351
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2052-03-22
          Fixed
          0.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK .125% 03/22/2068 (FTIPS)
        000000000
        
          
          
        
        547960.723000000000
        PA
        
        1775115.710000000000
        1.4774391520
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2068-03-22
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUSTRALIA GOVERNMENT BOND
        N/A
        AUSTRALIA 2.0 08/21/2035 (FTIPS)
        000000000
        
          
          
        
        245000.000000000000
        PA
        
        257694.330000000000
        0.2144804929
        Long
        DBT
        NUSS
        AU
        
        N
        
        2
        
          2035-08-21
          Fixed
          2.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPANESE GOVERNMENT CPI LINKED B
        N/A
        JAPAN .10% 9/10/2023 (FTIPS)
        000000000
        
          
          
        
        700000.000000000000
        PA
        
        6200.170000000000
        0.0051604376
        Long
        DBT
        NUSS
        JP
        
        N
        
        2
        
          2023-09-10
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SWEDEN (KINGDOM OF)
        ERE94C0BSULG2RM19605
        SWEDISH GOVERNMENT I/L 3114 0.125
        000000000
        
          
          
        
        360000.000000000000
        PA
        
        46363.730000000000
        0.0385888027
        Long
        DBT
        NUSS
        SE
        
        N
        
        2
        
          2030-06-01
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (GOVERNMENT OF)
        353800WZS8AXZXFUC241
        JAPAN (GOVERNMENT OF) 10YR #26
        000000000
        
          
          
        
        26900000.000000000000
        PA
        
        236194.330000000000
        0.1965859176
        Long
        DBT
        NUSS
        JP
        
        N
        
        2
        
          2031-03-10
          Fixed
          0.005000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPANESE GOVERNMENT CPI LINKED B
        N/A
        JAPAN .10% 03/10/2026 (FTIPS)
        000000000
        
          
          
        
        92800000.000000000000
        PA
        
        810116.740000000000
        0.6742648846
        Long
        DBT
        NUSS
        JP
        
        N
        
        2
        
          2026-03-10
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK .125% 11/22/2065 (FTIPS)
        000000000
        
          
          
        
        314729.040000000000
        PA
        
        956432.160000000000
        0.7960440615
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2065-11-22
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (REPUBLIC OF)
        969500KCGF3SUYJHPV70
        FRANCE (REPUBLIC OF)
        000000000
        
          
          
        
        410000.000000000000
        PA
        
        550824.460000000000
        0.4584544086
        Long
        DBT
        NUSS
        FR
        
        N
        
        2
        
          2028-03-01
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUSTRALIA (COMMONWEALTH OF)
        N/A
        AUSTRALIA (COMMONWEALTH OF)
        000000000
        
          
          
        
        75000.000000000000
        PA
        
        62645.920000000000
        0.0521405644
        Long
        DBT
        NUSS
        AU
        
        N
        
        2
        
          2050-02-21
          Fixed
          1.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW ZEALAND (GOVERNMENT OF)
        N/A
        NEW ZEALAND (GOVERNMENT OF)
        000000000
        
          
          
        
        362000.000000000000
        PA
        
        337653.100000000000
        0.2810306432
        Long
        DBT
        NUSS
        NZ
        
        N
        
        2
        
          2040-09-20
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITALY BUONI POLIENNALI DEL TESORO
        N/A
        ITALY .45% 5/22/2023 (FTIPS)
        000000000
        
          
          
        
        171000.000000000000
        PA
        
        204538.140000000000
        0.1702382861
        Long
        DBT
        NUSS
        IT
        
        N
        
        2
        
          2023-05-22
          Fixed
          0.450000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPAIN GOVERNMENT INFLATION LINKE
        N/A
        SPAIN .65% 11/30/2027 (FTIPS)
        000000000
        
          
          
        
        438888.000000000000
        PA
        
        559000.020000000000
        0.4652589749
        Long
        DBT
        NUSS
        ES
        
        N
        
        2
        
          2027-11-30
          Fixed
          0.650000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPAIN GOVERNMENT INFLATION LINKE
        N/A
        SPAIN .15% 11/30/2023 (FTIPS)
        000000000
        
          
          
        
        210814.500000000000
        PA
        
        252869.520000000000
        0.2104647754
        Long
        DBT
        NUSS
        ES
        
        N
        
        2
        
          2023-11-30
          Fixed
          0.150000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (REPUBLIC OF)
        969500KCGF3SUYJHPV70
        FRANCE .10% 7/25/2036 (FTIPS)
        000000000
        
          
          
        
        54139.000000000000
        PA
        
        73222.700000000000
        0.0609436800
        Long
        DBT
        NUSS
        FR
        
        N
        
        2
        
          2036-07-25
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DENMARK KINGDOM OF (GOVERNMENT)
        N/A
        DENMARK (KINGDOM OF)
        000000000
        
          
          
        
        315000.000000000000
        PA
        
        59505.430000000000
        0.0495267162
        Long
        DBT
        NUSS
        DK
        
        N
        
        2
        
          2030-11-15
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPANESE GOVERNMENT CPI LINKED B
        N/A
        JAPAN .10% 03/10/2028 (FTIPS)
        000000000
        
          
          
        
        30100000.000000000000
        PA
        
        264337.770000000000
        0.2200098667
        Long
        DBT
        NUSS
        JP
        
        N
        
        2
        
          2028-03-10
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM (GOVERNMENT OF)
        ECTRVYYCEF89VWYS6K36
        UK I/L GILT
        000000000
        
          
          
        
        459440.100000000000
        PA
        
        945237.920000000000
        0.7867270303
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2041-08-10
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPAIN (KINGDOM OF)
        N/A
        SPAIN .70% 11/30/2033 (FTIPS)
        000000000
        
          
          
        
        463791.900000000000
        PA
        
        614005.580000000000
        0.5110404231
        Long
        DBT
        NUSS
        ES
        
        N
        
        2
        
          2033-11-30
          Fixed
          0.700000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (REPUBLIC OF)
        969500KCGF3SUYJHPV70
        FRANCE .10% 03/01/2029 (FTIPS)
        000000000
        
          
          
        
        376143.800000000000
        PA
        
        482243.070000000000
        0.4013737180
        Long
        DBT
        NUSS
        FR
        
        N
        
        2
        
          2029-03-01
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SWEDEN GOVERNMENT BOND
        N/A
        SWEDEN 1.0% 06/01/2025 (FTIPS)
        000000000
        
          
          
        
        3000000.000000000000
        PA
        
        394593.480000000000
        0.3284224534
        Long
        DBT
        NUSS
        SE
        
        N
        
        2
        
          2025-06-01
          Fixed
          1.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITALY BUONI POLIENNALI DEL TESORO
        N/A
        ITALY .40% 5/15/2030 (FTIPS)
        000000000
        
          
          
        
        532720.000000000000
        PA
        
        639464.760000000000
        0.5322302470
        Long
        DBT
        NUSS
        IT
        
        N
        
        2
        
          2030-05-15
          Fixed
          0.400000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW ZEALAND GOVERNMENT BOND
        N/A
        NEW ZEALAND (GOVERNMENT OF)
        000000000
        
          
          
        
        163000.000000000000
        PA
        
        87304.970000000000
        0.0726644354
        Long
        DBT
        NUSS
        NZ
        
        N
        
        2
        
          2041-05-15
          Fixed
          1.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA (REPUBLIC OF)
        315700IASY927EDWBK92
        ROMANIA (REPUBLIC OF)
        000000000
        
          
          
        
        105000.000000000000
        PA
        
        113772.440000000000
        0.0946934650
        Long
        DBT
        NUSS
        RO
        
        N
        
        2
        
          2030-05-26
          Fixed
          3.624000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPANESE GOVERNMENT CPI LINKED B
        N/A
        JAPAN .10% 03/10/2024 (FTIPS)
        000000000
        
          
          
        
        100000.000000000000
        PA
        
        883.640000000000
        0.0007354587
        Long
        DBT
        NUSS
        JP
        
        N
        
        2
        
          2024-03-10
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUROPEAN UNION
        N/A
        EUROPEAN UNION
        000000000
        
          
          
        
        580000.000000000000
        PA
        
        583475.250000000000
        0.4856298515
        Long
        DBT
        CORP
        BE
        
        N
        
        2
        
          2031-07-04
          Fixed
          0.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO (UNITED MEXICAN STATES) (GOVERNMENT)
        N/A
        MEXICO (UNITED MEXICAN STATES)
        000000000
        
          
          
        
        415000.000000000000
        PA
        
        386732.470000000000
        0.3218796889
        Long
        DBT
        NUSS
        MX
        
        N
        
        2
        
          2033-10-25
          Fixed
          1.450000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITALY (REPUBLIC OF)
        815600DE60799F5A9309
        ITALY (REPUBLIC OF)
        000000000
        
          
          
        
        189012.600000000000
        PA
        
        230540.020000000000
        0.1918798024
        Long
        DBT
        NUSS
        IT
        
        N
        
        2
        
          2026-05-15
          Fixed
          0.650000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPAIN GOVERNMENT INFLATION LINKE
        N/A
        SPAIN 1.80% 11/30/2024 (FTIPS)
        000000000
        
          
          
        
        446455.800000000000
        PA
        
        567464.660000000000
        0.4723041441
        Long
        DBT
        NUSS
        ES
        
        N
        
        2
        
          2024-11-30
          Fixed
          1.800000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (REPUBLIC OF)
        969500KCGF3SUYJHPV70
        FRANCE .10% 3/1/2036 (FTIPS)
        000000000
        
          
          
        
        385000.000000000000
        PA
        
        529761.810000000000
        0.4409238423
        Long
        DBT
        NUSS
        FR
        
        N
        
        2
        
          2036-03-01
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERU (REPUBLIC OF)
        N/A
        PERU (REPUBLIC OF)
        000000000
        
          
          
        
        100000.000000000000
        PA
        
        95742.400000000000
        0.0796869576
        Long
        DBT
        NUSS
        PE
        
        N
        
        2
        
          2033-03-11
          Fixed
          1.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (REPUBLIC OF)
        969500KCGF3SUYJHPV70
        FRANCE (REPUBLIC OF)
        000000000
        
          
          
        
        461639.200000000000
        PA
        
        571836.770000000000
        0.4759430767
        Long
        DBT
        NUSS
        FR
        
        N
        
        2
        
          2026-03-01
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITALY BUONI POLIENNALI DEL TESORO
        N/A
        ITALY (REPUBLIC OF)
        000000000
        
          
          
        
        133036.800000000000
        PA
        
        153177.740000000000
        0.1274907258
        Long
        DBT
        NUSS
        IT
        
        N
        
        2
        
          2033-05-15
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (REPUBLIC OF)
        969500KCGF3SUYJHPV70
        FRANCE (REPUBLIC OF)
        000000000
        
          
          
        
        173383.650000000000
        PA
        
        227075.790000000000
        0.1889965036
        Long
        DBT
        NUSS
        FR
        
        N
        
        2
        
          2031-07-25
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: EUR 1.078000 18-MAR-2032
        000000000
        
          
        
        1410000.000000000000
        OU
        Notional Amount
        
        -16063.560000000000
        -0.0133697946
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Euribor 6 Month ACT/360
                EURIBOR65
              
            
            Y
            
            
              
                
              
            
            2032-03-18
            3690.640000000000
            USD
            0.000000000000
            USD
            1410000.000000000000
            EUR
            -18870.850000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.309000 20-SEP-2024
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        USD
        1856.000000000000
        0.0015447596
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-20
            1.360000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            USD
            1854.640000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.313000 20-SEP-2024
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        USD
        1831.910000000000
        0.0015247094
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-20
            1.360000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            USD
            1830.550000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 2.093000 18-MAR-2032
        000000000
        
          
        
        65000.000000000000
        OU
        Notional Amount
        USD
        182.250000000000
        0.0001516877
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-03-18
            1.050000000000
            USD
            0.000000000000
            USD
            65000.000000000000
            USD
            135.460000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 2.052500 18-MAR-2027
        000000000
        
          
        
        240000.000000000000
        OU
        Notional Amount
        USD
        -1798.010000000000
        -0.0014964942
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2027-03-18
            2.190000000000
            USD
            0.000000000000
            USD
            240000.000000000000
            USD
            -1635.100000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.303000 20-SEP-2024
        000000000
        
          
        
        620000.000000000000
        OU
        Notional Amount
        USD
        3784.350000000000
        0.0031497366
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-20
            2.700000000000
            USD
            0.000000000000
            USD
            620000.000000000000
            USD
            3781.650000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.284500 20-SEP-2024
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        USD
        2003.650000000000
        0.0016676496
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-20
            1.360000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            USD
            2002.290000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.052330 15-NOV-2031
        000000000
        
          
        
        420000.000000000000
        OU
        Notional Amount
        USD
        4141.240000000000
        0.0034467782
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2031-11-15
            6.760000000000
            USD
            0.000000000000
            USD
            420000.000000000000
            USD
            4134.480000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.054040 15-AUG-2047
        000000000
        
          
        
        170000.000000000000
        OU
        Notional Amount
        USD
        -192.490000000000
        -0.0001602105
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2047-08-15
            4.710000000000
            USD
            0.000000000000
            USD
            170000.000000000000
            USD
            -197.200000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 0 YEAR
        000000000
        
          
        
        -2050000.000000000000
        OU
        Notional Amount
        USD
        -3795.170000000000
        -0.0031587421
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.950000 21-SEP-2024
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2024-09-21
                  N/A
                  N/A
                  N/A
                  N/A
                  -2050000.000000000000
                  USD
                
              
            
            -2050000.000000000000000
            USD
            1.950000000000
            USD
            2022-09-19
            XXXX
            2764.830000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 0 YEAR
        000000000
        
          
        
        -2050000.000000000000
        OU
        Notional Amount
        USD
        -17714.260000000000
        -0.0147436818
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 2.450000 21-SEP-2024
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2024-09-21
                  N/A
                  N/A
                  N/A
                  N/A
                  -2050000
                  USD
                
              
            
            -2050000.000000000000000
            USD
            2.450000000000
            USD
            2022-09-19
            XXXX
            -8796.760000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 1.965000 21-MAR-2027
        000000000
        
          
        
        1610000.000000000000
        OU
        Notional Amount
        USD
        18696.590000000000
        0.0155612808
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2027-03-21
            14.730000000000
            USD
            0.000000000000
            USD
            1610000.000000000000
            USD
            17852.490000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.274000 20-SEP-2024
        000000000
        
          
        
        620000.000000000000
        OU
        Notional Amount
        USD
        4133.840000000000
        0.0034406191
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-20
            2.700000000000
            USD
            0.000000000000
            USD
            620000.000000000000
            USD
            4131.140000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.088460 15-NOV-2031
        000000000
        
          
        
        560000.000000000000
        OU
        Notional Amount
        USD
        3805.810000000000
        0.0031675978
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2031-11-15
            9.010000000000
            USD
            0.000000000000
            USD
            560000.000000000000
            USD
            3796.800000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.069240 15-FEB-2029
        000000000
        
          
        
        480000.000000000000
        OU
        Notional Amount
        USD
        -4282.940000000000
        -0.0035647159
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2029-02-15
            6.150000000000
            USD
            0.000000000000
            USD
            480000.000000000000
            USD
            -4289.090000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 2.011500 22-MAR-2032
        000000000
        
          
        
        30000.000000000000
        OU
        Notional Amount
        USD
        -304.410000000000
        -0.0002533622
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2032-03-22
            0.480000000000
            USD
            0.000000000000
            USD
            30000.000000000000
            USD
            -290.440000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 2.046000 23-MAR-2032
        000000000
        
          
        
        50000.000000000000
        OU
        Notional Amount
        USD
        352.060000000000
        0.0002930216
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-03-23
            0.810000000000
            USD
            0.000000000000
            USD
            50000.000000000000
            USD
            329.110000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.119080 15-NOV-2031
        000000000
        
          
        
        140000.000000000000
        OU
        Notional Amount
        USD
        587.900000000000
        0.0004893126
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2031-11-15
            2.250000000000
            USD
            0.000000000000
            USD
            140000.000000000000
            USD
            585.650000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.132280 15-AUG-2047
        000000000
        
          
        
        160000.000000000000
        OU
        Notional Amount
        USD
        2262.190000000000
        0.0018828339
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2047-08-15
            4.450000000000
            USD
            0.000000000000
            USD
            160000.000000000000
            USD
            2257.740000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: USD 0.562000 23-MAR-2024
        000000000
        
          
        
        1095000.000000000000
        OU
        Notional Amount
        USD
        -41072.780000000000
        -0.0341851142
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-03-23
            0.000000000000
            USD
            -3626.860000000000
            USD
            1095000.000000000000
            USD
            -37557.560000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 4.594500 15-MAR-2032
        000000000
        
          
        
        170000.000000000000
        OU
        Notional Amount
        
        -39.570000000000
        -0.0000329343
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2032-03-15
            4.650000000000
            USD
            0.000000000000
            USD
            170000.000000000000
            GBP
            -44.220000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.092500 23-MAR-2032
        000000000
        
          
        
        275000.000000000000
        OU
        Notional Amount
        USD
        -1600.590000000000
        -0.0013321804
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
            
              
                
              
            
            2032-03-23
            5.700000000000
            USD
            0.000000000000
            USD
            275000.000000000000
            USD
            -1606.290000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.428000 07-SEP-2024
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        USD
        1029.140000000000
        0.0008565592
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-07
            1.360000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            USD
            1027.780000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 2.096500 23-MAR-2032
        000000000
        
          
        
        65000.000000000000
        OU
        Notional Amount
        USD
        161.820000000000
        0.0001346837
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-03-23
            1.050000000000
            USD
            0.000000000000
            USD
            65000.000000000000
            USD
            131.180000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 2.092500 23-MAR-2032
        000000000
        
          
        
        65000.000000000000
        OU
        Notional Amount
        USD
        185.260000000000
        0.0001541930
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-03-23
            1.050000000000
            USD
            0.000000000000
            USD
            65000.000000000000
            USD
            154.690000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.445000 07-SEP-2024
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        USD
        926.340000000000
        0.0007709982
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-07
            1.360000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            USD
            924.980000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.458000 23-SEP-2024
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        USD
        980.620000000000
        0.0008161757
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-23
            1.360000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            USD
            979.260000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 2.154000 23-MAR-2032
        000000000
        
          
        
        65000.000000000000
        OU
        Notional Amount
        USD
        -175.050000000000
        -0.0001456951
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-03-23
            1.050000000000
            USD
            0.000000000000
            USD
            65000.000000000000
            USD
            -206.620000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.474000 23-SEP-2024
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        USD
        884.210000000000
        0.0007359331
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-23
            1.360000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            USD
            882.850000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.509500 26-SEP-2024
        000000000
        
          
        
        340000.000000000000
        OU
        Notional Amount
        USD
        753.200000000000
        0.0006268928
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-26
            1.490000000000
            USD
            0.000000000000
            USD
            340000.000000000000
            USD
            751.710000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 2.183500 23-MAR-2032
        000000000
        
          
        
        65000.000000000000
        OU
        Notional Amount
        USD
        -347.870000000000
        -0.0002895342
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-03-23
            1.050000000000
            USD
            0.000000000000
            USD
            65000.000000000000
            USD
            -379.920000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 4.574000 15-MAR-2032
        000000000
        
          
        
        170000.000000000000
        OU
        Notional Amount
        
        542.560000000000
        0.0004515759
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2032-03-15
            4.680000000000
            USD
            0.000000000000
            USD
            170000.000000000000
            GBP
            537.880000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.117500 24-MAR-2032
        000000000
        
          
        
        275000.000000000000
        OU
        Notional Amount
        USD
        -821.280000000000
        -0.0006835561
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
            
              
                
              
            
            2032-03-24
            5.710000000000
            USD
            0.000000000000
            USD
            275000.000000000000
            USD
            -826.990000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.265000 24-JUN-2032
        000000000
        
          
        
        160000.000000000000
        OU
        Notional Amount
        USD
        1456.080000000000
        0.0012119039
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2032-06-24
            2.580000000000
            USD
            0.000000000000
            USD
            160000.000000000000
            USD
            1453.500000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 2.210000 25-MAR-2032
        000000000
        
          
        
        40000.000000000000
        OU
        Notional Amount
        USD
        -309.870000000000
        -0.0002579066
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-03-25
            0.650000000000
            USD
            0.000000000000
            USD
            40000.000000000000
            USD
            -325.570000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: USD 0.568000 25-MAR-2024
        000000000
        
          
        
        2170000.000000000000
        OU
        Notional Amount
        USD
        -81124.350000000000
        -0.0675202694
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2024-03-25
            0.000000000000
            USD
            -6965.920000000000
            USD
            2170000.000000000000
            USD
            -74326.250000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 2.132500 25-MAR-2027
        000000000
        
          
        
        120000.000000000000
        OU
        Notional Amount
        USD
        -442.070000000000
        -0.0003679374
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2027-03-25
            1.110000000000
            USD
            0.000000000000
            USD
            120000.000000000000
            USD
            -399.850000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 2.133000 25-MAR-2027
        000000000
        
          
        
        120000.000000000000
        OU
        Notional Amount
        USD
        -439.220000000000
        -0.0003655654
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2027-03-25
            1.110000000000
            USD
            0.000000000000
            USD
            120000.000000000000
            USD
            -396.990000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 2.151000 25-MAR-2032
        000000000
        
          
        
        90000.000000000000
        OU
        Notional Amount
        USD
        -218.370000000000
        -0.0001817506
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2032-03-25
            0.000000000000
            USD
            -14.020000000000
            USD
            90000.000000000000
            USD
            -237.160000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.531500 28-MAR-2025
        000000000
        
          
        
        1080000.000000000000
        OU
        Notional Amount
        USD
        3007.790000000000
        0.0025034011
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2025-03-28
            4.750000000000
            USD
            0.000000000000
            USD
            1080000.000000000000
            USD
            3003.040000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 2.184500 28-MAR-2032
        000000000
        
          
        
        230000.000000000000
        OU
        Notional Amount
        USD
        1255.410000000000
        0.0010448851
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2032-03-28
            3.710000000000
            USD
            0.000000000000
            USD
            230000.000000000000
            USD
            1300.370000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.307000 28-MAR-2028
        000000000
        
          
        
        380000.000000000000
        OU
        Notional Amount
        USD
        -344.470000000000
        -0.0002867044
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2028-03-28
            3.500000000000
            USD
            0.000000000000
            USD
            380000.000000000000
            USD
            -347.970000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        980000.000000000000
        OU
        Notional Amount
        USD
        13888.460000000000
        0.0115594462
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Purchased
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK SECURITIES INC
                    9J6MBOOO7BECTDTUZW19
                    FSWP: OIS 2.590000 16-JAN-2028
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      United States SOFR Secured Overnight Financing Rate
                      CT1403743
                    
                  
                  
                    
                      
                    
                  
                  
                  2028-01-16
                  N/A
                  N/A
                  N/A
                  N/A
                  980000.000000000000
                  USD
                
              
            
            980000.000000000000000
            USD
            2.590000000000
            USD
            2023-01-12
            XXXX
            2295.420000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.300000 28-MAR-2033
        000000000
        
          
        
        110000.000000000000
        OU
        Notional Amount
        USD
        1181.740000000000
        0.0009835691
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2033-03-28
            1.780000000000
            USD
            0.000000000000
            USD
            110000.000000000000
            USD
            1179.960000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.674500 27-SEP-2024
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        USD
        -301.480000000000
        -0.0002509236
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-27
            1.370000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            USD
            -302.850000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.675500 27-SEP-2024
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        USD
        -307.490000000000
        -0.0002559257
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-27
            1.370000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            USD
            -308.860000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.716370 30-SEP-2024
        000000000
        
          
        
        560000.000000000000
        OU
        Notional Amount
        USD
        -969.630000000000
        -0.0008070287
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-09-30
            2.470000000000
            USD
            0.000000000000
            USD
            560000.000000000000
            USD
            -972.100000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.808300 03-OCT-2024
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        USD
        -1073.340000000000
        -0.0008933471
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-10-03
            1.380000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            USD
            -1074.720000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.727000 30-SEP-2024
        000000000
        
          
        
        3024000.000000000000
        OU
        Notional Amount
        USD
        5860.180000000000
        0.0048774620
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2024-09-30
            13.350000000000
            USD
            0.000000000000
            USD
            3024000.000000000000
            USD
            5846.830000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.480000 30-SEP-2027
        000000000
        
          
        
        387000.000000000000
        OU
        Notional Amount
        USD
        -3046.730000000000
        -0.0025358111
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2027-09-30
            3.570000000000
            USD
            0.000000000000
            USD
            387000.000000000000
            USD
            -3050.300000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 2.352500 31-MAR-2027
        000000000
        
          
        
        120000.000000000000
        OU
        Notional Amount
        USD
        815.120000000000
        0.0006784291
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2027-03-31
            1.110000000000
            USD
            0.000000000000
            USD
            120000.000000000000
            USD
            820.920000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.702500 30-SEP-2024
        000000000
        
          
        
        336000.000000000000
        OU
        Notional Amount
        USD
        491.270000000000
        0.0004088869
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2024-09-30
            1.490000000000
            USD
            0.000000000000
            USD
            336000.000000000000
            USD
            489.780000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.440000 30-SEP-2027
        000000000
        
          
        
        43000.000000000000
        OU
        Notional Amount
        USD
        -257.810000000000
        -0.0002145768
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2027-09-30
            0.400000000000
            USD
            0.000000000000
            USD
            43000.000000000000
            USD
            -258.210000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 2.294000 31-MAR-2027
        000000000
        
          
        
        60000.000000000000
        OU
        Notional Amount
        USD
        240.940000000000
        0.0002005358
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2027-03-31
            0.560000000000
            USD
            0.000000000000
            USD
            60000.000000000000
            USD
            243.730000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: OIS 2.295500 31-MAR-2027
        000000000
        
          
        
        60000.000000000000
        OU
        Notional Amount
        USD
        245.210000000000
        0.0002040897
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
            
              
                
              
            
            2027-03-31
            0.560000000000
            USD
            0.000000000000
            USD
            60000.000000000000
            USD
            248.010000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: OIS 2.692500 04-OCT-2024
        000000000
        
          
        
        110000.000000000000
        OU
        Notional Amount
        USD
        -131.530000000000
        -0.0001094732
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                United States SOFR Secured Overnight Financing Rate
                CT1403743
              
            
            Y
            
              
                
              
            
            
            2024-10-04
            0.490000000000
            USD
            0.000000000000
            USD
            110000.000000000000
            USD
            -132.020000000000
          
        
        
          N
          N
          N
        
      
      
        NEW ZEALAND GOVERNMENT BOND
        N/A
        NEW ZEALAND 2.5% 9/20/2035 (FTIPS)
        000000000
        
          
          
        
        148000.000000000000
        PA
        
        135796.450000000000
        0.1130241769
        Long
        DBT
        NUSS
        NZ
        
        N
        
        2
        
          2035-09-20
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (REPUBLIC OF)
        969500KCGF3SUYJHPV70
        FRANCE .10% 03/01/2025 (FTIPS)
        000000000
        
          
          
        
        375000.000000000000
        PA
        
        487184.930000000000
        0.4054868569
        Long
        DBT
        NUSS
        FR
        
        N
        
        2
        
          2025-03-01
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHLAND I/L BOND
        N/A
        GERMANY .10 4/15/2026 (FTIPS)
        000000000
        
          
          
        
        554725.000000000000
        PA
        
        691585.930000000000
        0.5756110006
        Long
        DBT
        NUSS
        DE
        
        N
        
        2
        
          2026-04-15
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPAIN GOVERNMENT INFLATION LINKE
        N/A
        SPAIN 1.0% 11/30/2030 (FTIPS)
        000000000
        
          
          
        
        505696.400000000000
        PA
        
        678473.320000000000
        0.5646972988
        Long
        DBT
        NUSS
        ES
        
        N
        
        2
        
          2030-11-30
          Fixed
          1.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SWEDEN (KINGDOM OF)
        ERE94C0BSULG2RM19605
        SWEDISH GOVERNMENT I/L 3111 0.125
        000000000
        
          
          
        
        595000.000000000000
        PA
        
        83133.950000000000
        0.0691928711
        Long
        DBT
        NUSS
        SE
        
        N
        
        2
        
          2032-06-01
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPANESE GOVERNMENT CPI LINKED B
        N/A
        JAPAN .10% 03/10/2025 (FTIPS)
        000000000
        
          
          
        
        117200000.000000000000
        PA
        
        1018331.410000000000
        0.8475631681
        Long
        DBT
        NUSS
        JP
        
        N
        
        2
        
          2025-03-10
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK .125% 03/22/2046 (FTIPS)
        000000000
        
          
          
        
        516375.600000000000
        PA
        
        1129033.180000000000
        0.9397008965
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2046-03-22
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUSTRALIA GOVERNMENT BOND
        N/A
        AUSTRALIA (COMMONWEALTH OF)
        000000000
        
          
          
        
        115000.000000000000
        PA
        
        105773.970000000000
        0.0880362918
        Long
        DBT
        NUSS
        AU
        
        N
        
        2
        
          2040-08-21
          Fixed
          1.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK .125% 11/22/2056 (FTIPS)
        000000000
        
          
          
        
        278020.920000000000
        PA
        
        720337.010000000000
        0.5995406920
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2056-11-22
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITALY BUONI POLIENNALI DEL TESORO
        N/A
        ITALY 1.25% 9/15/2032 (FTIPS)
        000000000
        
          
          
        
        549840.000000000000
        PA
        
        717291.570000000000
        0.5970059546
        Long
        DBT
        NUSS
        IT
        
        N
        
        2
        
          2032-09-15
          Fixed
          1.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (REPUBLIC OF)
        969500KCGF3SUYJHPV70
        FRANCE .10% 07/25/2047 (FTIPS)
        000000000
        
          
          
        
        164809.500000000000
        PA
        
        246275.860000000000
        0.2049768337
        Long
        DBT
        NUSS
        FR
        
        N
        
        2
        
          2047-07-25
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITALY BUONI POLIENNALI DEL TESORO
        N/A
        ITALY 1.30% 5/15/2028 (FTIPS)
        000000000
        
          
          
        
        472746.300000000000
        PA
        
        602892.050000000000
        0.5017905673
        Long
        DBT
        NUSS
        IT
        
        N
        
        2
        
          2028-05-15
          Fixed
          1.300000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPANESE GOVERNMENT CPI LINKED B
        N/A
        JAPAN .10% 03/10/2027 (FTIPS)
        000000000
        
          
          
        
        87000000.000000000000
        PA
        
        778960.030000000000
        0.6483329733
        Long
        DBT
        NUSS
        JP
        
        N
        
        2
        
          2027-03-10
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK .125% 11/22/2036 (FTIPS)
        000000000
        
          
          
        
        543714.350000000000
        PA
        
        1035655.010000000000
        0.8619817013
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2036-11-22
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHLAND I/L BOND
        N/A
        GERMANY .10% 04/15/2046 (FTIPS)
        000000000
        
          
          
        
        385634.100000000000
        PA
        
        678105.240000000000
        0.5643909437
        Long
        DBT
        NUSS
        DE
        
        N
        
        2
        
          2046-04-15
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK .125% 08/10/2048 (FTIPS)
        000000000
        
          
          
        
        439333.200000000000
        PA
        
        1000195.220000000000
        0.8324683114
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2048-08-10
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UNITED KINGDOM (GOVERNMENT OF)
        000000000
        
          
          
        
        102398.400000000000
        PA
        
        165246.240000000000
        0.1375354087
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2028-08-10
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -5384133.000000000000
        OU
        Notional Amount
        N/A
        97010.570000000000
        0.0807424629
        N/A
        DFE
        CORP
        GB
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            5384133.000000000000000
            GBP
            7169832.010000000707805
            USD
            2022-04-05
            97010.570000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -2137757.000000000000
        OU
        Notional Amount
        N/A
        1013.470000000000
        0.0008435170
        N/A
        DFE
        CORP
        JP
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            2137757.000000000000000
            JPY
            18573.840000000000146
            USD
            2022-04-05
            1013.470000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -133045.000000000000
        OU
        Notional Amount
        N/A
        -41.870000000000
        -0.0000348486
        N/A
        DFE
        CORP
        SE
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            133045.000000000000000
            SEK
            14108.500000000000000
            USD
            2022-04-05
            -41.870000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        AUSTRALIA DOLLAR
        000000000
        
          
        
        120571.000000000000
        OU
        Notional Amount
        N/A
        2681.830000000000
        0.0022321027
        N/A
        DFE
        CORP
        AU
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            87542.529999999998836
            USD
            120571.000000000000000
            AUD
            2022-04-05
            2681.830000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        CANADIAN DOLLAR
        000000000
        
          
        
        48988.000000000000
        OU
        Notional Amount
        N/A
        555.620000000000
        0.0004624458
        N/A
        DFE
        CORP
        CA
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            38629.879999999997381
            USD
            48988.000000000000000
            CAD
            2022-04-05
            555.620000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        EURO COUNTRIES
        000000000
        
          
        
        164479.000000000000
        OU
        Notional Amount
        N/A
        -3040.030000000000
        -0.0025302347
        N/A
        DFE
        CORP
        XX
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            185000.299999999988358
            USD
            164479.000000000000000
            EUR
            2022-04-05
            -3040.030000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        BRITISH POUND
        000000000
        
          
        
        214882.000000000000
        OU
        Notional Amount
        N/A
        -6119.260000000000
        -0.0050930958
        N/A
        DFE
        CORP
        GB
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            288397.210000000020955
            USD
            214882.000000000000000
            GBP
            2022-04-05
            -6119.260000000000
          
        
        
          N
          N
          N
        
      
      
        UBS
        T6FIZBDPKLYJKFCRVK44
        US 10YR FUT OPTN  May22C 128
        000000000
        
          
        
        -5.000000000000
        NC
        USD
        -234.380000000000
        -0.0001950758
        N/A
        DIR
        CORP
        US
        
        N
        
        1
        
          
            
              UBS
              T6FIZBDPKLYJKFCRVK44
            
            Call
            Written
            
              
                
                  
                    UBS
                    T6FIZBDPKLYJKFCRVK44
                  
                  
                    US 10YR NOTE JUN 22
                    T6FIZBDPKLYJKFCRVK44
                    US 10YR NOTE JUN 22
                    000000000
                    
                      
                      
                    
                    N/A
                    NC
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  Short
                  
                    
                      US 10YR NOTE JUN 22
                      US 10YR NOTE JUN 22
                      
                        
                        
                      
                    
                  
                  2022-06-21
                  N/A
                  N/A
                
              
            
            1.000000000000000
            128.000000000000
            USD
            2022-04-22
            XXXX
            66.540000000000
          
        
        
          N
          N
          N
        
      
      
        UBS
        T6FIZBDPKLYJKFCRVK44
        US 10YR FUT OPTN  May22P 121.5
        000000000
        
          
        
        2.000000000000
        NC
        USD
        750.000000000000
        0.0006242294
        N/A
        DIR
        CORP
        US
        
        N
        
        1
        
          
            
              UBS
              T6FIZBDPKLYJKFCRVK44
            
            Put
            Purchased
            
              
                
                  
                    UBS
                    T6FIZBDPKLYJKFCRVK44
                  
                  
                    US 10YR NOTE JUN 22
                    T6FIZBDPKLYJKFCRVK44
                    US 10YR NOTE JUN 22
                    000000000
                    
                      
                      
                    
                    N/A
                    NC
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  Short
                  
                    
                      US 10YR NOTE JUN 22
                      US 10YR NOTE JUN 22
                      
                        
                        
                      
                    
                  
                  2022-06-21
                  N/A
                  N/A
                
              
            
            1.000000000000000
            121.500000000000
            USD
            2022-04-22
            XXXX
            -1625.000000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        US DOLLARS
        000000000
        
          
        
        -1922780.000000000000
        OU
        Notional Amount
        N/A
        -44998.610000000000
        -0.0374526054
        N/A
        DFE
        CORP
        AU
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            1922780.000000000000000
            AUD
            1393834.969999999972060
            USD
            2022-04-05
            -44998.610000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        US DOLLARS
        000000000
        
          
        
        -2572988.000000000000
        OU
        Notional Amount
        N/A
        -30751.200000000000
        -0.0255944030
        N/A
        DFE
        CORP
        CA
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            2572988.000000000000000
            CAD
            2027381.800000000046566
            USD
            2022-04-05
            -30751.200000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        US DOLLARS
        000000000
        
          
        
        -2237000.000000000000
        OU
        Notional Amount
        N/A
        1888.320000000000
        0.0015716597
        N/A
        DFE
        CORP
        DK
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            2237000.000000000000000
            DKK
            334581.989999999990687
            USD
            2022-04-05
            1888.320000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        US DOLLARS
        000000000
        
          
        
        -21482591.820000000000
        OU
        Notional Amount
        N/A
        317745.980000000000
        0.2644618312
        N/A
        DFE
        CORP
        XX
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            21482591.820000000298023
            EUR
            24083564.939999997615814
            USD
            2022-04-05
            317745.980000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        US DOLLARS
        000000000
        
          
        
        -176636.000000000000
        OU
        Notional Amount
        N/A
        -507.150000000000
        -0.0004221039
        N/A
        DFE
        CORP
        XX
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            176636.000000000000000
            EUR
            194902.190000000002328
            USD
            2022-04-05
            -507.150000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        US DOLLARS
        000000000
        
          
        
        -17274800.000000000000
        OU
        Notional Amount
        N/A
        150981.750000000000
        0.1256629906
        N/A
        DFE
        CORP
        XX
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            17274800.000000000000000
            EUR
            19278158.559999998658895
            USD
            2022-05-04
            150981.750000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        US DOLLARS
        000000000
        
          
        
        -16322879.000000000000
        OU
        Notional Amount
        N/A
        430550.420000000000
        0.3583496241
        N/A
        DFE
        CORP
        GB
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            16322879.000000000000000
            GBP
            21872964.379999998956919
            USD
            2022-04-05
            430550.420000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        US DOLLARS
        000000000
        
          
        
        -16303879.000000000000
        OU
        Notional Amount
        N/A
        -15408.560000000000
        -0.0128246343
        N/A
        DFE
        CORP
        GB
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            16303879.000000000000000
            GBP
            21398106.119999997317791
            USD
            2022-05-04
            -15408.560000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        US DOLLARS
        000000000
        
          
        
        -417565000.000000000000
        OU
        Notional Amount
        N/A
        208070.440000000000
        0.1731782400
        N/A
        DFE
        CORP
        JP
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            417565000.000000000000000
            JPY
            3638111.370000000111759
            USD
            2022-04-05
            208070.440000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        US DOLLARS
        000000000
        
          
        
        -1467000.000000000000
        OU
        Notional Amount
        N/A
        -23434.640000000000
        -0.0195047875
        N/A
        DFE
        CORP
        NZ
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            1467000.000000000000000
            NZD
            993254.060000000055879
            USD
            2022-04-05
            -23434.640000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        US DOLLARS
        000000000
        
          
        
        -10136000.000000000000
        OU
        Notional Amount
        N/A
        -33309.970000000000
        -0.0277240822
        N/A
        DFE
        CORP
        SE
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            10136000.000000000000000
            SEK
            1044732.119999999995343
            USD
            2022-04-05
            -33309.970000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        EURO COUNTRIES
        000000000
        
          
        
        17339098.000000000000
        OU
        Notional Amount
        N/A
        -150878.240000000000
        -0.1255768386
        N/A
        DFE
        CORP
        XX
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            19332821.809999998658895
            USD
            17339098.000000000000000
            EUR
            2022-04-05
            -150878.240000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        EURO COUNTRIES
        000000000
        
          
        
        205000.000000000000
        OU
        Notional Amount
        N/A
        2085.610000000000
        0.0017358654
        N/A
        DFE
        CORP
        XX
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            225338.109999999986030
            USD
            205000.000000000000000
            EUR
            2022-06-15
            2085.610000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        BRITISH POUND
        000000000
        
          
        
        16188879.000000000000
        OU
        Notional Amount
        N/A
        15244.520000000000
        0.0126881029
        N/A
        DFE
        CORP
        GB
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            21251141.460000000894070
            USD
            16188879.000000000000000
            GBP
            2022-04-05
            15244.520000000000
          
        
        
          N
          N
          N
        
      
      
        SWEDEN GOVERNMENT BOND
        N/A
        SWEDEN 3.50% 12/01/2028 (FTIPS)
        000000000
        
          
          
        
        1255000.000000000000
        PA
        
        252377.240000000000
        0.2100550479
        Long
        DBT
        NUSS
        SE
        
        N
        
        2
        
          2028-12-01
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITALY BUONI POLIENNALI DEL TESORO
        N/A
        ITALY 2.35% 9/15/2035 (FTIPS)
        000000000
        
          
          
        
        513251.700000000000
        PA
        
        770919.240000000000
        0.6416405769
        Long
        DBT
        NUSS
        IT
        
        N
        
        2
        
          2035-09-15
          Fixed
          2.350000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS
        T6FIZBDPKLYJKFCRVK44
        EURO$ 90 DAY DEC 24
        000000000
        
          
          
        
        -5.000000000000
        NC
        USD
        15645.400000000000
        0.0130217576
        N/A
        DIR
        CORP
        US
        
        N
        
        1
        
          
            
              UBS
              T6FIZBDPKLYJKFCRVK44
            
            Short
            
              
                EURO$ 90 DAY DEC 24
                EURO$ 90 DAY DEC 24
                
                  
                  
                
              
            
            2024-12-16
            -1231832.900000000000
            USD
            15645.400000000000
          
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK 1.125% 11/22/2037 (FTIPS)
        000000000
        
          
          
        
        612643.200000000000
        PA
        
        1341364.510000000000
        1.1164255001
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2037-11-22
          Fixed
          1.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITALY BUONI POLIENNALI DEL TESORO
        N/A
        ITALY 2.60% 9/15/2023 (FTIPS)
        000000000
        
          
          
        
        1392589.800000000000
        PA
        
        1718408.840000000000
        1.4302416936
        Long
        DBT
        NUSS
        IT
        
        N
        
        2
        
          2023-09-15
          Fixed
          2.600000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK .75% 11/22/2047 (FTIPS)
        000000000
        
          
          
        
        587319.701000000000
        PA
        
        1488308.870000000000
        1.2387281474
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2047-11-22
          Fixed
          0.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUSTRALIA GOVERNMENT BOND
        N/A
        AUSTRALIA 3.00% 9/20/2025 (FTIPS)
        000000000
        
          
          
        
        435000.000000000000
        PA
        
        472945.740000000000
        0.3936354961
        Long
        DBT
        NUSS
        AU
        
        N
        
        2
        
          2025-09-20
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS
        T6FIZBDPKLYJKFCRVK44
        3MO EURO EURIBOR DEC 22
        000000000
        
          
          
          
        
        -22.000000000000
        NC
        
        -526.900000000000
        -0.0004385419
        N/A
        DIR
        CORP
        GB
        
        N
        
        1
        
          
            
              UBS
              T6FIZBDPKLYJKFCRVK44
            
            Short
            
              
                3MO EURO EURIBOR DEC 22
                3MO EURO EURIBOR DEC 22
                
                  
                  
                
              
            
            2022-12-19
            -5484089.820000000000
            EUR
            -526.900000000000
          
        
        
          N
          N
          N
        
      
      
        UBS
        T6FIZBDPKLYJKFCRVK44
        3MO EURO EURIBOR DEC 23
        000000000
        
          
          
          
        
        22.000000000000
        NC
        
        -2759.710000000000
        -0.0022969227
        N/A
        DIR
        CORP
        GB
        
        N
        
        1
        
          
            
              UBS
              T6FIZBDPKLYJKFCRVK44
            
            Long
            
              
                3MO EURO EURIBOR DEC 23
                3MO EURO EURIBOR DEC 23
                
                  
                  
                
              
            
            2023-12-18
            5430910.160000000000
            EUR
            -2759.710000000000
          
        
        
          N
          N
          N
        
      
      
        UBS
        T6FIZBDPKLYJKFCRVK44
        US 5YR NOTE JUN 22
        000000000
        
          
          
        
        4.000000000000
        NC
        USD
        -13380.280000000000
        -0.0111364850
        N/A
        DIR
        CORP
        US
        
        N
        
        1
        
          
            
              UBS
              T6FIZBDPKLYJKFCRVK44
            
            Long
            
              
                US 5YR NOTE JUN 22
                US 5YR NOTE JUN 22
                
                  
                  
                
              
            
            2022-06-30
            472130.280000000000
            USD
            -13380.280000000000
          
        
        
          N
          N
          N
        
      
      
        UBS
        T6FIZBDPKLYJKFCRVK44
        LONG GILT JUN 22
        000000000
        
          
          
          
        
        20.000000000000
        NC
        
        -38624.300000000000
        -0.0321472300
        N/A
        DIR
        CORP
        GB
        
        N
        
        1
        
          
            
              UBS
              T6FIZBDPKLYJKFCRVK44
            
            Long
            
              
                LONG GILT JUN 22
                LONG GILT JUN 22
                
                  
                  
                
              
            
            2022-06-28
            2454644.980000000000
            GBP
            -38624.300000000000
          
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK 4.125% 7/22/2030 (FTIPS)
        000000000
        
          
          
        
        85000.000000000000
        PA
        
        429743.620000000000
        0.3576781198
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2030-07-22
          Fixed
          4.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS
        T6FIZBDPKLYJKFCRVK44
        EURO-OAT JUN 22
        000000000
        
          
          
          
        
        -6.000000000000
        NC
        
        46198.710000000000
        0.0384514556
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              UBS
              T6FIZBDPKLYJKFCRVK44
            
            Short
            
              
                EURO-OAT JUN 22
                EURO-OAT JUN 22
                
                  
                  
                
              
            
            2022-06-08
            -951055.500000000000
            EUR
            46198.710000000000
          
        
        
          N
          N
          N
        
      
      
        UBS
        T6FIZBDPKLYJKFCRVK44
        EURO-BOBL JUN 22
        000000000
        
          
          
          
        
        -22.000000000000
        NC
        
        67048.140000000000
        0.0558045577
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              UBS
              T6FIZBDPKLYJKFCRVK44
            
            Short
            
              
                EURO-BOBL JUN 22
                EURO-BOBL JUN 22
                
                  
                  
                
              
            
            2022-06-08
            -2895736.310000000000
            EUR
            67048.140000000000
          
        
        
          N
          N
          N
        
      
      
        UBS
        T6FIZBDPKLYJKFCRVK44
        EURO-BUND JUN 22
        000000000
        
          
          
          
        
        4.000000000000
        NC
        
        -11850.690000000000
        -0.0098633984
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              UBS
              T6FIZBDPKLYJKFCRVK44
            
            Long
            
              
                EURO-BUND JUN 22
                EURO-BUND JUN 22
                
                  
                  
                
              
            
            2022-06-08
            645393.080000000000
            EUR
            -11850.690000000000
          
        
        
          N
          N
          N
        
      
      
        UBS
        T6FIZBDPKLYJKFCRVK44
        THREE MONTH SONIA (ICE) SEP 22
        000000000
        
          
          
          
        
        10.000000000000
        NC
        
        -34050.070000000000
        -0.0283400717
        N/A
        DIR
        CORP
        AU
        
        N
        
        1
        
          
            
              UBS
              T6FIZBDPKLYJKFCRVK44
            
            Long
            
              
                THREE MONTH SONIA (ICE) SEP 22
                THREE MONTH SONIA (ICE) SEP 22
                
                  
                  
                
              
            
            2022-12-20
            2477923.400000000000
            GBP
            -34050.070000000000
          
        
        
          N
          N
          N
        
      
      
        UBS
        T6FIZBDPKLYJKFCRVK44
        US 2YR NOTE JUN 22
        000000000
        
          
          
        
        7.000000000000
        NC
        USD
        3708.460000000000
        0.0030865729
        N/A
        DIR
        CORP
        US
        
        N
        
        1
        
          
            
              UBS
              T6FIZBDPKLYJKFCRVK44
            
            Long
            
              
                US 2YR NOTE JUN 22
                US 2YR NOTE JUN 22
                
                  
                  
                
              
            
            2022-06-30
            1479744.670000000000
            USD
            3708.460000000000
          
        
        
          N
          N
          N
        
      
      
        UBS
        T6FIZBDPKLYJKFCRVK44
        US 10YR NOTE JUN 22
        000000000
        
          
          
        
        5.000000000000
        NC
        USD
        -10462.210000000000
        -0.0087077584
        N/A
        DIR
        CORP
        US
        
        N
        
        1
        
          
            
              UBS
              T6FIZBDPKLYJKFCRVK44
            
            Long
            
              
                US 10YR NOTE JUN 22
                US 10YR NOTE JUN 22
                
                  
                  
                
              
            
            2022-06-21
            624837.210000000000
            USD
            -10462.210000000000
          
        
        
          N
          N
          N
        
      
      
        UBS
        T6FIZBDPKLYJKFCRVK44
        EURO BUXL 30YR BOND JUN 22
        000000000
        
          
          
          
        
        -2.000000000000
        NC
        
        14360.060000000000
        0.0119519616
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              UBS
              T6FIZBDPKLYJKFCRVK44
            
            Short
            
              
                EURO BUXL 30YR BOND JUN 22
                EURO BUXL 30YR BOND JUN 22
                
                  
                  
                
              
            
            2022-06-08
            -385438.460000000000
            EUR
            14360.060000000000
          
        
        
          N
          N
          N
        
      
      
        UBS
        T6FIZBDPKLYJKFCRVK44
        US ULTRA 10YR NOTE JUN 22
        000000000
        
          
          
        
        -9.000000000000
        NC
        USD
        47611.410000000000
        0.0396272541
        N/A
        DIR
        CORP
        US
        
        N
        
        1
        
          
            
              UBS
              T6FIZBDPKLYJKFCRVK44
            
            Short
            
              
                US ULTRA 10YR NOTE JUN 22
                US ULTRA 10YR NOTE JUN 22
                
                  
                  
                
              
            
            2022-06-21
            -1266830.160000000000
            USD
            47611.410000000000
          
        
        
          N
          N
          N
        
      
      
        UBS
        T6FIZBDPKLYJKFCRVK44
        US ULTRA T-BOND JUN 22
        000000000
        
          
          
        
        -5.000000000000
        NC
        USD
        28401.930000000000
        0.0236390919
        N/A
        DIR
        CORP
        US
        
        N
        
        1
        
          
            
              UBS
              T6FIZBDPKLYJKFCRVK44
            
            Short
            
              
                US ULTRA T-BOND JUN 22
                US ULTRA T-BOND JUN 22
                
                  
                  
                
              
            
            2022-06-21
            -914026.930000000000
            USD
            28401.930000000000
          
        
        
          N
          N
          N
        
      
      
        UBS
        T6FIZBDPKLYJKFCRVK44
        US ULTRA T-BOND JUN 22
        000000000
        
          
          
        
        -1.000000000000
        NC
        USD
        -970.480000000000
        -0.0008077362
        N/A
        DIR
        CORP
        US
        
        N
        
        1
        
          
            
              UBS
              T6FIZBDPKLYJKFCRVK44
            
            Short
            
              
                US ULTRA T-BOND JUN 22
                US ULTRA T-BOND JUN 22
                
                  
                  
                
              
            
            2022-06-21
            -176154.520000000000
            USD
            -970.480000000000
          
        
        
          N
          N
          N
        
      
      
        UBS
        T6FIZBDPKLYJKFCRVK44
        US 10YR FUT OPTN  May22C 126
        000000000
        
          
        
        5.000000000000
        NC
        USD
        468.750000000000
        0.0003901434
        N/A
        DIR
        CORP
        US
        
        N
        
        1
        
          
            
              UBS
              T6FIZBDPKLYJKFCRVK44
            
            Call
            Purchased
            
              
                
                  
                    UBS
                    T6FIZBDPKLYJKFCRVK44
                  
                  
                    US 10YR NOTE JUN 22
                    T6FIZBDPKLYJKFCRVK44
                    US 10YR NOTE JUN 22
                    000000000
                    
                      
                      
                    
                    N/A
                    NC
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  Long
                  
                    
                      US 10YR NOTE JUN 22
                      US 10YR NOTE JUN 22
                      
                        
                        
                      
                    
                  
                  2022-06-21
                  N/A
                  N/A
                
              
            
            1.000000000000000
            126.000000000000
            USD
            2022-04-22
            XXXX
            -386.290000000000
          
        
        
          N
          N
          N
        
      
      
        FRANCE (REPUBLIC OF)
        969500KCGF3SUYJHPV70
        FRANCE .70% 07/25/2030 (FTIPS)
        000000000
        
          
          
        
        1556555.400000000000
        PA
        
        2128215.590000000000
        1.7713262403
        Long
        DBT
        NUSS
        FR
        
        N
        
        2
        
          2030-07-25
          Fixed
          0.700000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM (GOVERNMENT OF)
        ECTRVYYCEF89VWYS6K36
        UNITED KINGDOM OF GREAT BRITAIN AN
        000000000
        
          
          
        
        91975.950000000000
        PA
        
        158456.820000000000
        0.1318845349
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2031-08-10
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM (GOVERNMENT OF)
        ECTRVYYCEF89VWYS6K36
        UNITED KINGDOM OF GREAT BRITAIN AN
        000000000
        
          
          
        
        178234.650000000000
        PA
        
        422698.320000000000
        0.3518142755
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2051-03-22
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (REPUBLIC OF)
        969500KCGF3SUYJHPV70
        FRANCE .10% 3/1/2032 (FTIPS)
        000000000
        
          
          
        
        105000.000000000000
        PA
        
        140532.660000000000
        0.1169661520
        Long
        DBT
        NUSS
        FR
        
        N
        
        2
        
          2032-03-01
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITALY BUONI POLIENNALI DEL TESORO
        N/A
        ITALY (REPUBLIC OF)
        000000000
        
          
          
        
        258617.100000000000
        PA
        
        285444.440000000000
        0.2375770712
        Long
        DBT
        NUSS
        IT
        
        N
        
        2
        
          2051-05-15
          Fixed
          0.150000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN GOVERNMENT BOND
        N/A
        CANADA 1.25% 12/01/2047 (FTIPS)
        000000000
        
          
          
        
        276952.200000000000
        PA
        
        256402.260000000000
        0.2134050955
        Long
        DBT
        NUSS
        CA
        
        N
        
        2
        
          2047-12-01
          Fixed
          1.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK .125% 03/22/2058 (FTIPS)
        000000000
        
          
          
        
        424613.520000000000
        PA
        
        1124881.210000000000
        0.9362451877
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2058-03-22
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (REPUBLIC OF)
        969500KCGF3SUYJHPV70
        FRANCE (REPUBLIC OF)
        000000000
        
          
          
        
        350791.600000000000
        PA
        
        543319.340000000000
        0.4522078535
        Long
        DBT
        NUSS
        FR
        
        N
        
        2
        
          2053-07-25
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA (REPUBLIC OF)
        315700IASY927EDWBK92
        ROMANIA (REPUBLIC OF)
        000000000
        
          
          
        
        85000.000000000000
        PA
        
        87955.960000000000
        0.0732062582
        Long
        DBT
        NUSS
        RO
        
        N
        
        2
        
          2034-02-07
          Fixed
          3.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPANESE GOVERNMENT CPI LINKED B
        N/A
        JAPAN .10% 09/10/2024 (FTIPS)
        000000000
        
          
          
        
        42600000.000000000000
        PA
        
        368707.010000000000
        0.3068769935
        Long
        DBT
        NUSS
        JP
        
        N
        
        2
        
          2024-09-10
          Fixed
          0.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK 1.25% 11/22/2055 (FTIPS)
        000000000
        
          
          
        
        540521.190000000000
        PA
        
        1764015.450000000000
        1.4682003409
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2055-11-22
          Fixed
          1.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK 1.25% 11/22/2027 (FTIPS)
        000000000
        
          
          
        
        663013.350000000000
        PA
        
        1116948.060000000000
        0.9296423807
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2027-11-22
          Fixed
          1.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (REPUBLIC OF)
        969500KCGF3SUYJHPV70
        FRANCE 1.80% 7/25/2040 (FTIPS)
        000000000
        
          
          
        
        530793.851000000000
        PA
        
        953285.290000000000
        0.7934249033
        Long
        DBT
        NUSS
        FR
        
        N
        
        2
        
          2040-07-25
          Fixed
          1.800000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (REPUBLIC OF)
        969500KCGF3SUYJHPV70
        FRANCE 2.10% 7/25/2023 (FTIPS)
        000000000
        
          
          
        
        175000.000000000000
        PA
        
        249422.540000000000
        0.2075958338
        Long
        DBT
        NUSS
        FR
        
        N
        
        2
        
          2023-07-25
          Fixed
          2.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK 1.25% 11/22/2032 (FTIPS)
        000000000
        
          
          
        
        475527.000000000000
        PA
        
        928822.420000000000
        0.7730643140
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2032-11-22
          Fixed
          1.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK .625% 11/22/2042 (FTIPS)
        000000000
        
          
          
        
        613077.100000000000
        PA
        
        1390371.950000000000
        1.1572146780
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2042-11-22
          Fixed
          0.625000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK .50% 3/22/2050 (FTIPS)
        000000000
        
          
          
        
        554328.619000000000
        PA
        
        1401978.460000000000
        1.1668748440
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2050-03-22
          Fixed
          0.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITALY BUONI POLIENNALI DEL TESORO
        N/A
        ITALY 2.55% 9/15/2041 (FTIPS)
        000000000
        
          
          
        
        472455.550000000000
        PA
        
        788378.270000000000
        0.6561718293
        Long
        DBT
        NUSS
        IT
        
        N
        
        2
        
          2041-09-15
          Fixed
          2.550000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK .625% 3/22/2040 (FTIPS)
        000000000
        
          
          
        
        645603.200000000000
        PA
        
        1385746.340000000000
        1.1533647559
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2040-03-22
          Fixed
          0.625000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (REPUBLIC OF)
        969500KCGF3SUYJHPV70
        FRANCE 1.85% 7/25/2027 (FTIPS)
        000000000
        
          
          
        
        800251.200000000000
        PA
        
        1103491.330000000000
        0.9184422659
        Long
        DBT
        NUSS
        FR
        
        N
        
        2
        
          2027-07-25
          Fixed
          1.850000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT INFLATION LI
        N/A
        UK .75% 03/22/2034 (FTIPS)
        000000000
        
          
          
        
        533539.500000000000
        PA
        
        1023076.750000000000
        0.8515127422
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2034-03-22
          Fixed
          0.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SWEDEN GOVERNMENT BOND
        N/A
        SWEDEN .25% 06/01/2022 (FTIPS)
        000000000
        
          
          
        
        2490000.000000000000
        PA
        
        303244.310000000000
        0.2523920067
        Long
        DBT
        NUSS
        SE
        
        N
        
        2
        
          2022-06-01
          Fixed
          0.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 3 YEAR
        000000000
        
          
        
        470000.000000000000
        OU
        Notional Amount
        USD
        416.140000000000
        0.0003463557
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Purchased
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 2.850000 11-MAY-2052
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2052-05-11
                  N/A
                  N/A
                  N/A
                  N/A
                  470000.000000000000
                  USD
                
              
            
            470000.000000000000000
            USD
            2.850000000000
            USD
            2022-05-09
            XXXX
            -27337.490000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 3 YEAR
        000000000
        
          
        
        -1020000.000000000000
        OU
        Notional Amount
        USD
        -3058.470000000000
        -0.0025455824
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 2.750000 11-MAY-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-05-11
                  N/A
                  N/A
                  N/A
                  N/A
                  -1020000.000000000000
                  USD
                
              
            
            -1020000.000000000000000
            USD
            2.750000000000
            USD
            2022-05-09
            XXXX
            26995.160000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 5 YEAR
        000000000
        
          
        
        -380000.000000000000
        OU
        Notional Amount
        USD
        -6882.640000000000
        -0.0057284614
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 3.500000 17-JUN-2034
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2034-06-17
                  N/A
                  N/A
                  N/A
                  N/A
                  -380000.000000000000
                  USD
                
              
            
            -380000.000000000000000
            USD
            3.500000000000
            USD
            2024-06-13
            XXXX
            -596.870000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 5 YEAR
        000000000
        
          
        
        380000.000000000000
        OU
        Notional Amount
        USD
        16433.860000000000
        0.0136779975
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Purchased
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 2.500000 17-JUN-2034
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2034-06-17
                  N/A
                  N/A
                  N/A
                  N/A
                  380000.000000000000
                  USD
                
              
            
            380000.000000000000000
            USD
            2.500000000000
            USD
            2024-06-13
            XXXX
            -329.350000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 5 YEAR
        000000000
        
          
        
        -380000.000000000000
        OU
        Notional Amount
        USD
        -10660.790000000000
        -0.0088730377
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 3.000000 17-JUN-2034
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2034-06-17
                  N/A
                  N/A
                  N/A
                  N/A
                  -380000.000000000000
                  USD
                
              
            
            -380000.000000000000000
            USD
            3.000000000000
            USD
            2024-06-13
            XXXX
            -183.350000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 5 YEAR
        000000000
        
          
        
        -380000.000000000000
        OU
        Notional Amount
        USD
        -6911.360000000000
        -0.0057523652
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 3.500000 24-JUN-2034
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2034-06-24
                  N/A
                  N/A
                  N/A
                  N/A
                  -380000.000000000000
                  USD
                
              
            
            -380000.000000000000000
            USD
            3.500000000000
            USD
            2024-06-20
            XXXX
            -1231.280000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 5 YEAR
        000000000
        
          
        
        -380000.000000000000
        OU
        Notional Amount
        USD
        -10691.830000000000
        -0.0088988724
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 3.000000 24-JUN-2034
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2034-06-24
                  N/A
                  N/A
                  N/A
                  N/A
                  -380000.000000000000
                  USD
                
              
            
            -380000.000000000000000
            USD
            3.000000000000
            USD
            2024-06-20
            XXXX
            -1264.250000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 5 YEAR
        000000000
        
          
        
        380000.000000000000
        OU
        Notional Amount
        USD
        16461.560000000000
        0.0137010523
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Purchased
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 2.500000 24-JUN-2034
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2034-06-24
                  N/A
                  N/A
                  N/A
                  N/A
                  380000.000000000000
                  USD
                
              
            
            380000.000000000000000
            USD
            2.500000000000
            USD
            2024-06-20
            XXXX
            753.900000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 2.378000 05-JUL-2049
        000000000
        
          
        
        60000.000000000000
        OU
        Notional Amount
        USD
        -1177.970000000000
        -0.0009804313
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2049-07-05
            1.120000000000
            USD
            0.000000000000
            USD
            60000.000000000000
            USD
            -1179.090000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.770500 12-JUL-2023
        000000000
        
          
        
        3380000.000000000000
        OU
        Notional Amount
        USD
        23410.530000000000
        0.0194847206
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2023-07-12
            16.930000000000
            USD
            0.000000000000
            USD
            3380000.000000000000
            USD
            23393.600000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.709000 16-AUG-2049
        000000000
        
          
        
        50000.000000000000
        OU
        Notional Amount
        USD
        1111.340000000000
        0.0009249748
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2049-08-16
            0.940000000000
            USD
            0.000000000000
            USD
            50000.000000000000
            USD
            1110.400000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.666500 17-AUG-2049
        000000000
        
          
        
        40000.000000000000
        OU
        Notional Amount
        USD
        995.890000000000
        0.0008288851
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2049-08-17
            0.750000000000
            USD
            0.000000000000
            USD
            40000.000000000000
            USD
            995.140000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 5 YEAR
        000000000
        
          
        
        -400000.000000000000
        OU
        Notional Amount
        USD
        -21685.720000000000
        -0.0180491512
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 2.250000 22-AUG-2034
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2034-08-22
                  N/A
                  N/A
                  N/A
                  N/A
                  -400000.000000000000
                  USD
                
              
            
            -400000.000000000000000
            USD
            2.250000000000
            USD
            2024-08-20
            XXXX
            -9685.720000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.750000 15-SEP-2029
        000000000
        
          
        
        345000.000000000000
        OU
        Notional Amount
        
        53896.210000000000
        0.0448581297
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2029-09-15
            8.570000000000
            USD
            0.000000000000
            USD
            345000.000000000000
            GBP
            53887.640000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.715000 15-SEP-2029
        000000000
        
          
        
        400000.000000000000
        OU
        Notional Amount
        
        64738.960000000000
        0.0538826138
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2029-09-15
            10.270000000000
            USD
            0.000000000000
            USD
            400000.000000000000
            GBP
            64728.690000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.907000 21-OCT-2034
        000000000
        
          
        
        150000.000000000000
        OU
        Notional Amount
        USD
        5657.180000000000
        0.0047085039
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2034-10-21
            2.580000000000
            USD
            0.000000000000
            USD
            150000.000000000000
            USD
            5654.600000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.933000 22-OCT-2034
        000000000
        
          
        
        100000.000000000000
        OU
        Notional Amount
        USD
        3548.930000000000
        0.0029537951
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2034-10-22
            1.720000000000
            USD
            0.000000000000
            USD
            100000.000000000000
            USD
            3547.210000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 2.097500 23-OCT-2039
        000000000
        
          
        
        70000.000000000000
        OU
        Notional Amount
        USD
        1513.060000000000
        0.0012593287
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2039-10-23
            1.260000000000
            USD
            0.000000000000
            USD
            70000.000000000000
            USD
            1511.800000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.420000 15-OCT-2034
        000000000
        
          
        
        815000.000000000000
        OU
        Notional Amount
        
        203802.460000000000
        0.1696259754
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2034-10-15
            2419.990000000000
            USD
            0.000000000000
            USD
            815000.000000000000
            GBP
            201382.470000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.360000 15-OCT-2039
        000000000
        
          
        
        815000.000000000000
        OU
        Notional Amount
        
        -264156.820000000000
        -0.2198592610
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
            
              
                
              
            
            2039-10-15
            0.000000000000
            USD
            -1783.370000000000
            USD
            815000.000000000000
            GBP
            -262373.450000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.160000 15-OCT-2049
        000000000
        
          
        
        630000.000000000000
        OU
        Notional Amount
        
        319271.050000000000
        0.2657311558
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2049-10-15
            0.000000000000
            USD
            -5996.530000000000
            USD
            630000.000000000000
            GBP
            325267.580000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.270000 15-OCT-2044
        000000000
        
          
        
        630000.000000000000
        OU
        Notional Amount
        
        -261759.040000000000
        -0.2178635747
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
            
              
                
              
            
            2044-10-15
            910.110000000000
            USD
            0.000000000000
            USD
            630000.000000000000
            GBP
            -262669.150000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.998000 07-NOV-2034
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        3871.780000000000
        0.0032225051
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2034-11-07
            2.250000000000
            USD
            0.000000000000
            USD
            130000.000000000000
            USD
            3869.530000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 2.110500 12-NOV-2034
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        2626.700000000000
        0.0021862177
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2034-11-12
            2.250000000000
            USD
            0.000000000000
            USD
            130000.000000000000
            USD
            2624.450000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 2.109500 15-NOV-2044
        000000000
        
          
        
        160000.000000000000
        OU
        Notional Amount
        USD
        1950.880000000000
        0.0016237288
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2044-11-15
            2.990000000000
            USD
            0.000000000000
            USD
            160000.000000000000
            USD
            1947.890000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.928500 01-DEC-2056
        000000000
        
          
        
        10000.000000000000
        OU
        Notional Amount
        USD
        -401.170000000000
        -0.0003338961
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2056-12-01
            0.250000000000
            USD
            0.000000000000
            USD
            10000.000000000000
            USD
            -401.420000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.132500 15-JAN-2050
        000000000
        
          
        
        200000.000000000000
        OU
        Notional Amount
        
        107775.410000000000
        0.0897021019
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2050-01-15
            10.330000000000
            USD
            0.000000000000
            USD
            200000.000000000000
            GBP
            107765.080000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.238750 15-JAN-2045
        000000000
        
          
        
        200000.000000000000
        OU
        Notional Amount
        
        -89180.730000000000
        -0.0742256414
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
            
              
                
              
            
            2045-01-15
            9.550000000000
            USD
            0.000000000000
            USD
            200000.000000000000
            GBP
            -89190.280000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.340800 15-JAN-2040
        000000000
        
          
        
        300000.000000000000
        OU
        Notional Amount
        
        -104055.650000000000
        -0.0866061240
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
            
              
                
              
            
            2040-01-15
            12.630000000000
            USD
            0.000000000000
            USD
            300000.000000000000
            GBP
            -104068.280000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.390000 15-JAN-2035
        000000000
        
          
        
        300000.000000000000
        OU
        Notional Amount
        
        81582.160000000000
        0.0679013073
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2035-01-15
            9.890000000000
            USD
            0.000000000000
            USD
            300000.000000000000
            GBP
            81572.270000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.310000 15-JAN-2040
        000000000
        
          
        
        300000.000000000000
        OU
        Notional Amount
        
        -107500.730000000000
        -0.0894734842
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
            
              
                
              
            
            2040-01-15
            12.710000000000
            USD
            0.000000000000
            USD
            300000.000000000000
            GBP
            -107513.440000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.360000 15-JAN-2035
        000000000
        
          
        
        300000.000000000000
        OU
        Notional Amount
        
        83884.960000000000
        0.0698179411
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2035-01-15
            9.950000000000
            USD
            0.000000000000
            USD
            300000.000000000000
            GBP
            83875.010000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.220000 15-JAN-2045
        000000000
        
          
        
        300000.000000000000
        OU
        Notional Amount
        
        -136603.980000000000
        -0.1136962888
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
            
              
                
              
            
            2045-01-15
            14.420000000000
            USD
            0.000000000000
            USD
            300000.000000000000
            GBP
            -136618.400000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.111400 15-JAN-2050
        000000000
        
          
        
        300000.000000000000
        OU
        Notional Amount
        
        165754.570000000000
        0.1379584947
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2050-01-15
            15.590000000000
            USD
            0.000000000000
            USD
            300000.000000000000
            GBP
            165738.980000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: USD 1.828000 10-FEB-2050
        000000000
        
          
        
        50000.000000000000
        OU
        Notional Amount
        USD
        -4849.390000000000
        -0.0040361756
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2050-02-10
            1.310000000000
            USD
            0.000000000000
            USD
            50000.000000000000
            USD
            -4751.880000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: USD 0.625500 14-APR-2025
        000000000
        
          
        
        330000.000000000000
        OU
        Notional Amount
        USD
        18945.660000000000
        0.0157685832
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2025-04-14
            3.650000000000
            USD
            0.000000000000
            USD
            330000.000000000000
            USD
            18153.960000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: USD 0.819500 14-APR-2030
        000000000
        
          
        
        170000.000000000000
        OU
        Notional Amount
        USD
        -19864.080000000000
        -0.0165329896
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2030-04-14
            2.830000000000
            USD
            0.000000000000
            USD
            170000.000000000000
            USD
            -19307.830000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.760000 03-MAY-2032
        000000000
        
          
        
        180000.000000000000
        OU
        Notional Amount
        USD
        26654.290000000000
        0.0221845209
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2032-05-03
            3.140000000000
            USD
            0.000000000000
            USD
            180000.000000000000
            USD
            26651.150000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.765000 04-MAY-2032
        000000000
        
          
        
        320000.000000000000
        OU
        Notional Amount
        USD
        47249.440000000000
        0.0393259843
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2032-05-04
            5.580000000000
            USD
            0.000000000000
            USD
            320000.000000000000
            USD
            47243.860000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: USD 0.648000 02-JUN-2030
        000000000
        
          
        
        10000.000000000000
        OU
        Notional Amount
        USD
        1309.890000000000
        0.0010902291
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2030-06-02
            0.170000000000
            USD
            0.000000000000
            USD
            10000.000000000000
            USD
            1294.630000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.135500 20-JUN-2052
        000000000
        
          
        
        60000.000000000000
        OU
        Notional Amount
        USD
        15120.170000000000
        0.0125846056
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2052-06-20
            1.570000000000
            USD
            0.000000000000
            USD
            60000.000000000000
            USD
            15118.600000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.679500 20-JUN-2027
        000000000
        
          
        
        325000.000000000000
        OU
        Notional Amount
        USD
        -28492.230000000000
        -0.0237142491
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2027-06-20
            4.420000000000
            USD
            0.000000000000
            USD
            325000.000000000000
            USD
            -28496.650000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.089500 20-JUN-2052
        000000000
        
          
        
        60000.000000000000
        OU
        Notional Amount
        USD
        15731.770000000000
        0.0130936439
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2052-06-20
            1.570000000000
            USD
            0.000000000000
            USD
            60000.000000000000
            USD
            15730.200000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.652000 20-JUN-2027
        000000000
        
          
        
        325000.000000000000
        OU
        Notional Amount
        USD
        -28911.060000000000
        -0.0240628438
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2027-06-20
            4.420000000000
            USD
            0.000000000000
            USD
            325000.000000000000
            USD
            -28915.480000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.654000 12-JUL-2028
        000000000
        
          
        
        330000.000000000000
        OU
        Notional Amount
        USD
        -28244.800000000000
        -0.0235083117
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2028-07-12
            4.760000000000
            USD
            0.000000000000
            USD
            330000.000000000000
            USD
            -28249.560000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.881000 12-JUL-2053
        000000000
        
          
        
        60000.000000000000
        OU
        Notional Amount
        USD
        17824.620000000000
        0.0148355351
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2053-07-12
            1.600000000000
            USD
            0.000000000000
            USD
            60000.000000000000
            USD
            17823.020000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.245000 15-JUL-2024
        000000000
        
          
        
        550000.000000000000
        OU
        Notional Amount
        
        85038.820000000000
        0.0707783056
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2024-07-15
            10.290000000000
            USD
            0.000000000000
            USD
            550000.000000000000
            GBP
            85028.530000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: USD 0.972500 17-AUG-2040
        000000000
        
          
        
        60000.000000000000
        OU
        Notional Amount
        USD
        12921.590000000000
        0.0107547147
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2040-08-17
            1.340000000000
            USD
            0.000000000000
            USD
            60000.000000000000
            USD
            12885.410000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.570000 15-OCT-2027
        000000000
        
          
        
        725000.000000000000
        OU
        Notional Amount
        
        141352.240000000000
        0.1176482933
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2027-10-15
            18.210000000000
            USD
            0.000000000000
            USD
            725000.000000000000
            GBP
            141334.030000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.573800 15-OCT-2030
        000000000
        
          
        
        525000.000000000000
        OU
        Notional Amount
        
        -125460.370000000000
        -0.1044213972
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
            
              
                
              
            
            2030-10-15
            424.180000000000
            USD
            0.000000000000
            USD
            525000.000000000000
            GBP
            -125884.550000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.333300 15-NOV-2040
        000000000
        
          
        
        115000.000000000000
        OU
        Notional Amount
        
        -45256.080000000000
        -0.0376668992
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
            
              
                
              
            
            2040-11-15
            5.140000000000
            USD
            0.000000000000
            USD
            115000.000000000000
            GBP
            -45261.220000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 2 YEAR
        000000000
        
          
        
        -155000.000000000000
        OU
        Notional Amount
        USD
        -475.930000000000
        -0.0003961193
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.234000 20-DEC-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-12-20
                  N/A
                  N/A
                  N/A
                  N/A
                  -155000.000000000000
                  USD
                
              
            
            -155000.000000000000000
            USD
            1.234000000000
            USD
            2022-12-16
            XXXX
            4608.070000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 2 YEAR
        000000000
        
          
        
        -155000.000000000000
        OU
        Notional Amount
        USD
        -17344.830000000000
        -0.0144362031
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.234000 20-DEC-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-12-20
                  N/A
                  N/A
                  N/A
                  N/A
                  -155000.000000000000
                  USD
                
              
            
            -155000.000000000000000
            USD
            1.234000000000
            USD
            2022-12-16
            XXXX
            -12260.830000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 2 YEAR
        000000000
        
          
        
        -155000.000000000000
        OU
        Notional Amount
        USD
        -485.720000000000
        -0.0004042676
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.244000 20-DEC-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-12-20
                  N/A
                  N/A
                  N/A
                  N/A
                  -155000.000000000000
                  USD
                
              
            
            -155000.000000000000000
            USD
            1.244000000000
            USD
            2022-12-16
            XXXX
            4582.780000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 2 YEAR
        000000000
        
          
        
        -155000.000000000000
        OU
        Notional Amount
        USD
        -17218.040000000000
        -0.0143306751
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.244000 20-DEC-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-12-20
                  N/A
                  N/A
                  N/A
                  N/A
                  -155000.000000000000
                  USD
                
              
            
            -155000.000000000000000
            USD
            1.244000000000
            USD
            2022-12-16
            XXXX
            -12149.540000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 2 YEAR
        000000000
        
          
        
        -170000.000000000000
        OU
        Notional Amount
        USD
        -583.730000000000
        -0.0004858419
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Call
            Written
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 1.254000 04-JAN-2033
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2033-01-04
                  N/A
                  N/A
                  N/A
                  N/A
                  -170000.000000000000
                  USD
                
              
            
            -170000.000000000000000
            USD
            1.254000000000
            USD
            2022-12-30
            XXXX
            5022.020000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 2 YEAR
        000000000
        
          
        
        -170000.000000000000
        OU
        Notional Amount
        USD
        -18752.890000000000
        -0.0156081397
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 1.254000 04-JAN-2033
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2033-01-04
                  N/A
                  N/A
                  N/A
                  N/A
                  -170000.000000000000
                  USD
                
              
            
            -170000.000000000000000
            USD
            1.254000000000
            USD
            2022-12-30
            XXXX
            -13147.140000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: USD 1.870000 19-FEB-2051
        000000000
        
          
        
        90000.000000000000
        OU
        Notional Amount
        USD
        -7899.440000000000
        -0.0065747500
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2051-02-19
            2.710000000000
            USD
            0.000000000000
            USD
            90000.000000000000
            USD
            -7760.830000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.594000 22-FEB-2032
        000000000
        
          
        
        225000.000000000000
        OU
        Notional Amount
        USD
        16037.800000000000
        0.0133483544
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2032-02-22
            3.270000000000
            USD
            0.000000000000
            USD
            225000.000000000000
            USD
            15773.920000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: USD 1.905000 22-FEB-2051
        000000000
        
          
        
        45000.000000000000
        OU
        Notional Amount
        USD
        -3606.630000000000
        -0.0030018192
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2051-02-22
            1.360000000000
            USD
            0.000000000000
            USD
            45000.000000000000
            USD
            -3541.170000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.621000 22-FEB-2032
        000000000
        
          
        
        112500.000000000000
        OU
        Notional Amount
        USD
        7749.680000000000
        0.0064501038
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2032-02-22
            1.640000000000
            USD
            0.000000000000
            USD
            112500.000000000000
            USD
            7614.540000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: USD 1.042500 22-FEB-2028
        000000000
        
          
        
        50000.000000000000
        OU
        Notional Amount
        USD
        3856.410000000000
        0.0032097125
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2028-02-22
            0.540000000000
            USD
            0.000000000000
            USD
            50000.000000000000
            USD
            3826.900000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: USD 1.513000 19-AUG-2031
        000000000
        
          
        
        20000.000000000000
        OU
        Notional Amount
        USD
        -1497.610000000000
        -0.0012464695
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2031-08-19
            0.290000000000
            USD
            0.000000000000
            USD
            20000.000000000000
            USD
            -1474.590000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: USD 1.270820 15-FEB-2028
        000000000
        
          
        
        490000.000000000000
        OU
        Notional Amount
        USD
        31613.430000000000
        0.0263120421
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2028-02-15
            5.320000000000
            USD
            0.000000000000
            USD
            490000.000000000000
            USD
            31156.750000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.710000 06-MAR-2026
        000000000
        
          
        
        180000.000000000000
        OU
        Notional Amount
        USD
        1192.840000000000
        0.0009928077
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2026-03-06
            0.250000000000
            USD
            0.000000000000
            USD
            180000.000000000000
            USD
            1192.590000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.560000 15-MAR-2041
        000000000
        
          
        
        120000.000000000000
        OU
        Notional Amount
        
        -37653.270000000000
        -0.0313390361
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
            
              
                
              
            
            2041-03-15
            5.580000000000
            USD
            0.000000000000
            USD
            120000.000000000000
            GBP
            -37658.850000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        SWP: IFS 3.746000 15-APR-2031
        000000000
        
          
        
        150000.000000000000
        OU
        Notional Amount
        
        -32608.010000000000
        -0.0271398368
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
            
              
                
              
            
            2031-04-15
            4.000000000000
            USD
            0.000000000000
            USD
            150000.000000000000
            GBP
            -32612.010000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: IFS 3.677500 15-APR-2031
        000000000
        
          
        
        45000.000000000000
        OU
        Notional Amount
        
        -10266.280000000000
        -0.0085446847
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
            
              
                
              
            
            2031-04-15
            1.200000000000
            USD
            0.000000000000
            USD
            45000.000000000000
            GBP
            -10267.480000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.622500 15-APR-2031
        000000000
        
          
        
        210000.000000000000
        OU
        Notional Amount
        
        49712.670000000000
        0.0413761450
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2031-04-15
            5.680000000000
            USD
            0.000000000000
            USD
            210000.000000000000
            GBP
            49706.990000000000
          
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM (GOVERNMENT OF)
        ECTRVYYCEF89VWYS6K36
        UK I/L GILT
        000000000
        
          
          
        
        139189.700000000000
        PA
        
        273900.870000000000
        0.2279692906
        Long
        DBT
        NUSS
        GB
        
        N
        
        2
        
          2039-03-22
          Fixed
          0.125000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.710000 15-JUN-2028
        000000000
        
          
        
        380000.000000000000
        OU
        Notional Amount
        
        68666.800000000000
        0.0571517779
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2028-06-15
            9.390000000000
            USD
            0.000000000000
            USD
            380000.000000000000
            GBP
            68657.410000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.699000 15-JUN-2031
        000000000
        
          
        
        270000.000000000000
        OU
        Notional Amount
        
        56508.680000000000
        0.0470325037
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2031-06-15
            7.510000000000
            USD
            0.000000000000
            USD
            270000.000000000000
            GBP
            56501.170000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.721000 15-JUN-2031
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        
        63812.530000000000
        0.0531115407
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                UK RPI All Items NSA
                CT1093607
              
            
            Y
            
              
                
              
            
            
            2031-06-15
            8.570000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            GBP
            63803.960000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.729000 21-JUN-2024
        000000000
        
          
        
        580000.000000000000
        OU
        Notional Amount
        USD
        22507.350000000000
        0.0187329986
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-06-21
            1.930000000000
            USD
            0.000000000000
            USD
            580000.000000000000
            USD
            22505.420000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.190000 19-JUL-2027
        000000000
        
          
        
        350000.000000000000
        OU
        Notional Amount
        USD
        -22508.260000000000
        -0.0187337560
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2027-07-19
            2.810000000000
            USD
            0.000000000000
            USD
            350000.000000000000
            USD
            -22511.070000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 1.792500 15-JUL-2051
        000000000
        
          
        
        50000.000000000000
        OU
        Notional Amount
        
        -20764.420000000000
        -0.0172823478
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
            
              
                
              
            
            2051-07-15
            2.580000000000
            USD
            0.000000000000
            USD
            50000.000000000000
            EUR
            -20767.000000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 3 YEAR
        000000000
        
          
        
        290000.000000000000
        OU
        Notional Amount
        USD
        6232.770000000000
        0.0051875708
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Purchased
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK SECURITIES INC
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.550000 31-JUL-2034
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2034-07-31
                  N/A
                  N/A
                  N/A
                  N/A
                  290000.000000000000
                  USD
                
              
            
            290000.000000000000000
            USD
            1.550000000000
            USD
            2024-07-29
            XXXX
            -4294.230000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.743500 12-AUG-2024
        000000000
        
          
        
        690000.000000000000
        OU
        Notional Amount
        USD
        27852.940000000000
        0.0231821643
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-08-12
            2.380000000000
            USD
            0.000000000000
            USD
            690000.000000000000
            USD
            27850.560000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.782000 15-AUG-2024
        000000000
        
          
        
        370000.000000000000
        OU
        Notional Amount
        USD
        14688.890000000000
        0.0122256488
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-08-15
            1.280000000000
            USD
            0.000000000000
            USD
            370000.000000000000
            USD
            14687.610000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -490000.000000000000
        OU
        Notional Amount
        USD
        -41979.040000000000
        -0.0349393997
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.525000 06-SEP-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-09-06
                  N/A
                  N/A
                  N/A
                  N/A
                  -490000.000000000000
                  USD
                
              
            
            -490000.000000000000000
            USD
            1.525000000000
            USD
            2022-09-01
            XXXX
            -28969.540000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -490000.000000000000
        OU
        Notional Amount
        USD
        -1331.380000000000
        -0.0011081153
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.525000 06-SEP-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-09-06
                  N/A
                  N/A
                  N/A
                  N/A
                  -490000.000000000000
                  USD
                
              
            
            -490000.000000000000000
            USD
            1.525000000000
            USD
            2022-09-01
            XXXX
            11678.120000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: USD 1.429000 21-SEP-2031
        000000000
        
          
        
        180000.000000000000
        OU
        Notional Amount
        USD
        14986.440000000000
        0.0124733014
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2031-09-21
            2.730000000000
            USD
            0.000000000000
            USD
            180000.000000000000
            USD
            14959.490000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: USD 1.391020 22-SEP-2031
        000000000
        
          
        
        180000.000000000000
        OU
        Notional Amount
        USD
        15569.780000000000
        0.0129588186
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2031-09-22
            2.730000000000
            USD
            0.000000000000
            USD
            180000.000000000000
            USD
            15546.700000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: USD 1.521000 24-SEP-2031
        000000000
        
          
        
        380000.000000000000
        OU
        Notional Amount
        USD
        28689.010000000000
        0.0238780302
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2031-09-24
            0.000000000000
            USD
            -5001.410000000000
            USD
            380000.000000000000
            USD
            33646.310000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.562500 24-MAR-2024
        000000000
        
          
        
        280000.000000000000
        OU
        Notional Amount
        USD
        10499.220000000000
        0.0087385620
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-03-24
            0.970000000000
            USD
            0.000000000000
            USD
            280000.000000000000
            USD
            10524.090000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -3230000.000000000000
        OU
        Notional Amount
        USD
        -0.320000000000
        -0.0000002663
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Call
            Written
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 0.606000 05-APR-2024
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2024-04-05
                  N/A
                  N/A
                  N/A
                  N/A
                  -3230000.000000000000
                  USD
                
              
            
            -3230000.000000000000000
            USD
            0.606000000000
            USD
            2022-04-01
            XXXX
            7751.680000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -3230000.000000000000
        OU
        Notional Amount
        USD
        -120089.460000000000
        -0.0999511575
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 0.606000 05-APR-2024
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2024-04-05
                  N/A
                  N/A
                  N/A
                  N/A
                  -3230000.000000000000
                  USD
                
              
            
            -3230000.000000000000000
            USD
            0.606000000000
            USD
            2022-04-01
            XXXX
            -112337.460000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.632500 08-APR-2024
        000000000
        
          
        
        1070000.000000000000
        OU
        Notional Amount
        USD
        39378.020000000000
        0.0327745556
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-08
            3.850000000000
            USD
            0.000000000000
            USD
            1070000.000000000000
            USD
            39374.170000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.338000 08-JUL-2027
        000000000
        
          
        
        350000.000000000000
        OU
        Notional Amount
        USD
        -20011.150000000000
        -0.0166553968
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2027-07-08
            2.970000000000
            USD
            0.000000000000
            USD
            350000.000000000000
            USD
            -20014.120000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -3230000.000000000000
        OU
        Notional Amount
        USD
        -112067.760000000000
        -0.0932746499
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK SECURITIES INC
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 0.740000 08-APR-2024
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2024-04-08
                  N/A
                  N/A
                  N/A
                  N/A
                  -3230000.000000000000
                  USD
                
              
            
            -3230000.000000000000000
            USD
            0.740000000000
            USD
            2022-04-06
            XXXX
            -106899.760000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.649000 11-APR-2024
        000000000
        
          
        
        590000.000000000000
        OU
        Notional Amount
        USD
        21599.360000000000
        0.0179772732
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-11
            2.140000000000
            USD
            0.000000000000
            USD
            590000.000000000000
            USD
            21597.220000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -245000.000000000000
        OU
        Notional Amount
        USD
        -1693.640000000000
        -0.0014096264
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.800000 11-OCT-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-10-11
                  N/A
                  N/A
                  N/A
                  N/A
                  -245000.000000000000
                  USD
                
              
            
            -245000.000000000000000
            USD
            1.800000000000
            USD
            2022-10-07
            XXXX
            5043.860000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -245000.000000000000
        OU
        Notional Amount
        USD
        -16142.440000000000
        -0.0134354469
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.800000 11-OCT-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-10-11
                  N/A
                  N/A
                  N/A
                  N/A
                  -245000.000000000000
                  USD
                
              
            
            -245000.000000000000000
            USD
            1.800000000000
            USD
            2022-10-07
            XXXX
            -9404.940000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.660500 11-APR-2024
        000000000
        
          
        
        340000.000000000000
        OU
        Notional Amount
        USD
        12370.830000000000
        0.0102963139
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-11
            1.220000000000
            USD
            0.000000000000
            USD
            340000.000000000000
            USD
            12369.610000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.677000 12-APR-2024
        000000000
        
          
        
        600000.000000000000
        OU
        Notional Amount
        USD
        21666.290000000000
        0.0180329795
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-12
            2.170000000000
            USD
            0.000000000000
            USD
            600000.000000000000
            USD
            21664.120000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.688900 12-APR-2024
        000000000
        
          
        
        600000.000000000000
        OU
        Notional Amount
        USD
        21527.030000000000
        0.0179170725
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-12
            2.170000000000
            USD
            0.000000000000
            USD
            600000.000000000000
            USD
            21524.860000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.727500 14-APR-2024
        000000000
        
          
        
        360000.000000000000
        OU
        Notional Amount
        USD
        12704.800000000000
        0.0105742791
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-14
            1.300000000000
            USD
            0.000000000000
            USD
            360000.000000000000
            USD
            12703.500000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.760800 19-APR-2024
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        USD
        10790.670000000000
        0.0089811375
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-19
            1.130000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            USD
            10789.540000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.761960 19-APR-2024
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        USD
        10783.660000000000
        0.0089753031
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-19
            1.130000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            USD
            10782.530000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.797210 14-APR-2024
        000000000
        
          
        
        590000.000000000000
        OU
        Notional Amount
        USD
        20018.510000000000
        0.0166615226
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-14
            2.140000000000
            USD
            0.000000000000
            USD
            590000.000000000000
            USD
            20016.370000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.788500 14-APR-2024
        000000000
        
          
        
        590000.000000000000
        OU
        Notional Amount
        USD
        20118.870000000000
        0.0167450528
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-14
            2.140000000000
            USD
            0.000000000000
            USD
            590000.000000000000
            USD
            20116.730000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -245000.000000000000
        OU
        Notional Amount
        USD
        -1713.140000000000
        -0.0014258564
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.795000 17-OCT-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-10-17
                  N/A
                  N/A
                  N/A
                  N/A
                  -245000.000000000000
                  USD
                
              
            
            -245000.000000000000000
            USD
            1.795000000000
            USD
            2022-10-13
            XXXX
            4956.990000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -245000.000000000000
        OU
        Notional Amount
        USD
        -16280.450000000000
        -0.0135503134
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.795000 17-OCT-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-10-17
                  N/A
                  N/A
                  N/A
                  N/A
                  -245000.000000000000
                  USD
                
              
            
            -245000.000000000000000
            USD
            1.795000000000
            USD
            2022-10-13
            XXXX
            -9610.320000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: USD 1.775000 18-OCT-2031
        000000000
        
          
        
        190000.000000000000
        OU
        Notional Amount
        USD
        10186.640000000000
        0.0084783998
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2031-10-18
            0.000000000000
            USD
            -3880.690000000000
            USD
            190000.000000000000
            USD
            12636.450000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.918640 20-APR-2024
        000000000
        
          
        
        300000.000000000000
        OU
        Notional Amount
        USD
        9565.380000000000
        0.0079613215
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-20
            1.100000000000
            USD
            0.000000000000
            USD
            300000.000000000000
            USD
            9564.280000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.935000 20-APR-2024
        000000000
        
          
        
        450000.000000000000
        OU
        Notional Amount
        USD
        14204.160000000000
        0.0118222052
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-20
            1.650000000000
            USD
            0.000000000000
            USD
            450000.000000000000
            USD
            14202.510000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.898000 20-APR-2024
        000000000
        
          
        
        130000.000000000000
        OU
        Notional Amount
        USD
        4197.450000000000
        0.0034935621
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-20
            0.480000000000
            USD
            0.000000000000
            USD
            130000.000000000000
            USD
            4196.970000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.131920 15-OCT-2051
        000000000
        
          
        
        67500.000000000000
        OU
        Notional Amount
        
        -17491.870000000000
        -0.0145585854
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
            
              
                
              
            
            2051-10-15
            3.480000000000
            USD
            0.000000000000
            USD
            67500.000000000000
            EUR
            -17495.350000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 1.956000 15-OCT-2031
        000000000
        
          
        
        67500.000000000000
        OU
        Notional Amount
        
        8278.430000000000
        0.0068901855
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
              
                
              
            
            
            2031-10-15
            1.580000000000
            USD
            0.000000000000
            USD
            67500.000000000000
            EUR
            8276.850000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.755000 22-OCT-2031
        000000000
        
          
        
        107000.000000000000
        OU
        Notional Amount
        USD
        -6941.700000000000
        -0.0057776174
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
            
              
                
              
            
            2031-10-22
            2.130000000000
            USD
            0.000000000000
            USD
            107000.000000000000
            USD
            -6943.830000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.570000 22-OCT-2051
        000000000
        
          
        
        107000.000000000000
        OU
        Notional Amount
        USD
        9585.740000000000
        0.0079782673
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
              
                
              
            
            
            2051-10-22
            4.720000000000
            USD
            0.000000000000
            USD
            107000.000000000000
            USD
            9581.020000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.044000 15-OCT-2031
        000000000
        
          
        
        67500.000000000000
        OU
        Notional Amount
        
        7559.270000000000
        0.0062916245
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
              
                
              
            
            
            2031-10-15
            1.580000000000
            USD
            0.000000000000
            USD
            67500.000000000000
            EUR
            7557.690000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.221260 15-OCT-2051
        000000000
        
          
        
        67500.000000000000
        OU
        Notional Amount
        
        -14648.400000000000
        -0.0121919487
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
            
              
                
              
            
            2051-10-15
            3.470000000000
            USD
            0.000000000000
            USD
            67500.000000000000
            EUR
            -14651.870000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.624000 25-OCT-2051
        000000000
        
          
        
        108000.000000000000
        OU
        Notional Amount
        USD
        7599.230000000000
        0.0063248834
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
              
                
              
            
            
            2051-10-25
            4.770000000000
            USD
            0.000000000000
            USD
            108000.000000000000
            USD
            7594.460000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.827000 25-OCT-2031
        000000000
        
          
        
        108000.000000000000
        OU
        Notional Amount
        USD
        -6188.260000000000
        -0.0051505249
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
            
              
                
              
            
            2031-10-25
            2.150000000000
            USD
            0.000000000000
            USD
            108000.000000000000
            USD
            -6190.410000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.912820 25-APR-2024
        000000000
        
          
        
        600000.000000000000
        OU
        Notional Amount
        USD
        19312.670000000000
        0.0160740478
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-25
            2.200000000000
            USD
            0.000000000000
            USD
            600000.000000000000
            USD
            19310.470000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.205000 15-OCT-2051
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        
        -69675.560000000000
        -0.0579913747
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
            
              
                
              
            
            2051-10-15
            15.920000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            EUR
            -69691.480000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.606000 25-OCT-2051
        000000000
        
          
        
        465000.000000000000
        OU
        Notional Amount
        USD
        35707.800000000000
        0.0297198101
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
              
                
              
            
            
            2051-10-25
            20.500000000000
            USD
            0.000000000000
            USD
            465000.000000000000
            USD
            35687.300000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.944850 25-APR-2024
        000000000
        
          
        
        607000.000000000000
        OU
        Notional Amount
        USD
        19159.100000000000
        0.0159462306
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-25
            2.230000000000
            USD
            0.000000000000
            USD
            607000.000000000000
            USD
            19156.870000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.929350 25-APR-2024
        000000000
        
          
        
        303000.000000000000
        OU
        Notional Amount
        USD
        9655.280000000000
        0.0080361458
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-25
            1.110000000000
            USD
            0.000000000000
            USD
            303000.000000000000
            USD
            9654.170000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.276915 15-OCT-2051
        000000000
        
          
        
        70000.000000000000
        OU
        Notional Amount
        
        -13315.810000000000
        -0.0110828263
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
            
              
                
              
            
            2051-10-15
            3.590000000000
            USD
            0.000000000000
            USD
            70000.000000000000
            EUR
            -13319.400000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.091000 15-OCT-2031
        000000000
        
          
        
        70000.000000000000
        OU
        Notional Amount
        
        7438.560000000000
        0.0061911568
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
              
                
              
            
            
            2031-10-15
            1.640000000000
            USD
            0.000000000000
            USD
            70000.000000000000
            EUR
            7436.920000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.620000 26-OCT-2051
        000000000
        
          
        
        108000.000000000000
        OU
        Notional Amount
        USD
        7752.390000000000
        0.0064523594
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
              
                
              
            
            
            2051-10-26
            4.770000000000
            USD
            0.000000000000
            USD
            108000.000000000000
            USD
            7747.620000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.855000 26-OCT-2031
        000000000
        
          
        
        108000.000000000000
        OU
        Notional Amount
        USD
        -5869.500000000000
        -0.0048852191
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
            
              
                
              
            
            2031-10-26
            2.150000000000
            USD
            0.000000000000
            USD
            108000.000000000000
            USD
            -5871.650000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.985000 26-APR-2024
        000000000
        
          
        
        305000.000000000000
        OU
        Notional Amount
        USD
        9406.260000000000
        0.0078288850
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-26
            1.120000000000
            USD
            0.000000000000
            USD
            305000.000000000000
            USD
            9405.140000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.993250 26-APR-2024
        000000000
        
          
        
        305000.000000000000
        OU
        Notional Amount
        USD
        9357.220000000000
        0.0077880687
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-26
            1.120000000000
            USD
            0.000000000000
            USD
            305000.000000000000
            USD
            9356.100000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 0.975200 26-APR-2024
        000000000
        
          
        
        305000.000000000000
        OU
        Notional Amount
        USD
        9464.490000000000
        0.0078773502
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-04-26
            1.120000000000
            USD
            0.000000000000
            USD
            305000.000000000000
            USD
            9463.370000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.890000 28-OCT-2031
        000000000
        
          
        
        110000.000000000000
        OU
        Notional Amount
        USD
        -5570.480000000000
        -0.0046363430
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
            
              
                
              
            
            2031-10-28
            2.190000000000
            USD
            0.000000000000
            USD
            110000.000000000000
            USD
            -5572.670000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.319580 15-OCT-2051
        000000000
        
          
        
        65000.000000000000
        OU
        Notional Amount
        
        -11011.160000000000
        -0.0091646526
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
            
              
                
              
            
            2051-10-15
            3.340000000000
            USD
            0.000000000000
            USD
            65000.000000000000
            EUR
            -11014.500000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.134000 15-OCT-2031
        000000000
        
          
        
        65000.000000000000
        OU
        Notional Amount
        
        6565.460000000000
        0.0054644706
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
              
                
              
            
            
            2031-10-15
            1.510000000000
            USD
            0.000000000000
            USD
            65000.000000000000
            EUR
            6563.950000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.625000 28-OCT-2051
        000000000
        
          
        
        110000.000000000000
        OU
        Notional Amount
        USD
        7695.690000000000
        0.0064051676
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
              
                
              
            
            
            2051-10-28
            4.850000000000
            USD
            0.000000000000
            USD
            110000.000000000000
            USD
            7690.840000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.482500 01-AUG-2027
        000000000
        
          
        
        380000.000000000000
        OU
        Notional Amount
        USD
        -19328.890000000000
        -0.0160875478
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2027-08-01
            3.260000000000
            USD
            0.000000000000
            USD
            380000.000000000000
            USD
            -19332.150000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.007000 03-MAY-2024
        000000000
        
          
        
        925000.000000000000
        OU
        Notional Amount
        USD
        28508.680000000000
        0.0237279405
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-05-03
            3.420000000000
            USD
            0.000000000000
            USD
            925000.000000000000
            USD
            28505.260000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.017500 03-MAY-2024
        000000000
        
          
        
        925000.000000000000
        OU
        Notional Amount
        USD
        28319.510000000000
        0.0235704932
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-05-03
            3.420000000000
            USD
            0.000000000000
            USD
            925000.000000000000
            USD
            28316.090000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.492500 01-AUG-2027
        000000000
        
          
        
        380000.000000000000
        OU
        Notional Amount
        USD
        -19151.320000000000
        -0.0159397553
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2027-08-01
            3.260000000000
            USD
            0.000000000000
            USD
            380000.000000000000
            USD
            -19154.580000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.004000 15-NOV-2031
        000000000
        
          
        
        115000.000000000000
        OU
        Notional Amount
        
        13430.340000000000
        0.0111781503
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
              
                
              
            
            
            2031-11-15
            0.000000000000
            USD
            -14.130000000000
            USD
            115000.000000000000
            EUR
            13444.470000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.206000 15-NOV-2051
        000000000
        
          
        
        25000.000000000000
        OU
        Notional Amount
        
        -5623.510000000000
        -0.0046804802
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
            
              
                
              
            
            2051-11-15
            60.800000000000
            USD
            0.000000000000
            USD
            25000.000000000000
            EUR
            -5684.310000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.540000 03-NOV-2051
        000000000
        
          
        
        60000.000000000000
        OU
        Notional Amount
        USD
        5993.900000000000
        0.0049887579
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
              
                
              
            
            
            2051-11-03
            2.650000000000
            USD
            0.000000000000
            USD
            60000.000000000000
            USD
            5991.250000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.825000 03-NOV-2031
        000000000
        
          
        
        210000.000000000000
        OU
        Notional Amount
        USD
        -12051.410000000000
        -0.0100304588
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
            
              
                
              
            
            2031-11-03
            4.190000000000
            USD
            0.000000000000
            USD
            210000.000000000000
            USD
            -12055.600000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.170000 15-NOV-2051
        000000000
        
          
        
        20000.000000000000
        OU
        Notional Amount
        
        4839.280000000000
        0.0040277610
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
              
                
              
            
            
            2051-11-15
            1.030000000000
            USD
            0.000000000000
            USD
            20000.000000000000
            EUR
            4838.250000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -720000.000000000000
        OU
        Notional Amount
        USD
        -20565.430000000000
        -0.0171167273
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIGROUP GLOBAL MARKETS INC
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 1.480000 04-NOV-2024
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2024-11-04
                  N/A
                  N/A
                  N/A
                  N/A
                  -720000.000000000000
                  USD
                
              
            
            -720000.000000000000000
            USD
            1.480000000000
            USD
            2022-11-02
            XXXX
            -16929.430000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -1680000.000000000000
        OU
        Notional Amount
        USD
        -10.750000000000
        -0.0000089473
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.020000 05-MAY-2024
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2024-05-05
                  N/A
                  N/A
                  N/A
                  N/A
                  -1680000.000000000000
                  USD
                
              
            
            -1680000.000000000000000
            USD
            1.020000000000
            USD
            2022-05-03
            XXXX
            6625.250000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -1680000.000000000000
        OU
        Notional Amount
        USD
        -51788.350000000000
        -0.0431037456
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK AG
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.020000 05-MAY-2024
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2024-05-05
                  N/A
                  N/A
                  N/A
                  N/A
                  -1680000.000000000000
                  USD
                
              
            
            -1680000.000000000000000
            USD
            1.020000000000
            USD
            2022-05-03
            XXXX
            -45152.350000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 3.170000 12-NOV-2026
        000000000
        
          
        
        570000.000000000000
        OU
        Notional Amount
        USD
        23549.510000000000
        0.0196003944
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
              
                
              
            
            
            2026-11-12
            6.220000000000
            USD
            0.000000000000
            USD
            570000.000000000000
            USD
            23543.290000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.053200 12-MAY-2024
        000000000
        
          
        
        620000.000000000000
        OU
        Notional Amount
        USD
        18922.140000000000
        0.0157490074
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-05-12
            2.330000000000
            USD
            0.000000000000
            USD
            620000.000000000000
            USD
            18919.810000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.183800 15-NOV-2051
        000000000
        
          
        
        50000.000000000000
        OU
        Notional Amount
        
        11772.940000000000
        0.0097986866
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
              
                
              
            
            
            2051-11-15
            2.540000000000
            USD
            0.000000000000
            USD
            50000.000000000000
            EUR
            11770.400000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.628000 15-NOV-2051
        000000000
        
          
        
        75000.000000000000
        OU
        Notional Amount
        USD
        -5120.120000000000
        -0.0042615057
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
            
              
                
              
            
            2051-11-15
            3.320000000000
            USD
            0.000000000000
            USD
            75000.000000000000
            USD
            -5123.440000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.059000 12-MAY-2024
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        USD
        9426.020000000000
        0.0078453314
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-05-12
            1.170000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            USD
            9424.850000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.074500 12-MAY-2024
        000000000
        
          
        
        310000.000000000000
        OU
        Notional Amount
        USD
        9332.360000000000
        0.0077673776
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-05-12
            1.170000000000
            USD
            0.000000000000
            USD
            310000.000000000000
            USD
            9331.190000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.096000 17-MAY-2024
        000000000
        
          
        
        90000.000000000000
        OU
        Notional Amount
        USD
        2691.950000000000
        0.0022405257
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-05-17
            0.350000000000
            USD
            0.000000000000
            USD
            90000.000000000000
            USD
            2691.600000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 2 YEAR
        000000000
        
          
        
        370000.000000000000
        OU
        Notional Amount
        USD
        24350.260000000000
        0.0202668633
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Purchased
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK SECURITIES INC
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.937500 17-NOV-2033
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2033-11-17
                  N/A
                  N/A
                  N/A
                  N/A
                  370000.000000000000
                  USD
                
              
            
            370000.000000000000000
            USD
            1.937500000000
            USD
            2023-11-15
            XXXX
            9504.010000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -520000.000000000000
        OU
        Notional Amount
        USD
        -33243.030000000000
        -0.0276683676
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK SECURITIES INC
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.847500 17-NOV-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-11-17
                  N/A
                  N/A
                  N/A
                  N/A
                  -520000.000000000000
                  USD
                
              
            
            -520000.000000000000000
            USD
            1.847500000000
            USD
            2022-11-15
            XXXX
            -17877.030000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.676000 17-NOV-2051
        000000000
        
          
        
        75000.000000000000
        OU
        Notional Amount
        USD
        -3816.120000000000
        -0.0031761789
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
            
              
                
              
            
            2051-11-17
            3.320000000000
            USD
            0.000000000000
            USD
            75000.000000000000
            USD
            -3819.440000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -520000.000000000000
        OU
        Notional Amount
        USD
        -4710.990000000000
        -0.0039209844
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK SECURITIES INC
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.847500 17-NOV-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-11-17
                  N/A
                  N/A
                  N/A
                  N/A
                  -520000.000000000000
                  USD
                
              
            
            -520000.000000000000000
            USD
            1.847500000000
            USD
            2022-11-15
            XXXX
            10655.010000000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank
        9J6MBOOO7BECTDTUZW19
        OTC (GENERIC) 2 YEAR
        000000000
        
          
        
        370000.000000000000
        OU
        Notional Amount
        USD
        9232.310000000000
        0.0076841054
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Deutsche Bank
              9J6MBOOO7BECTDTUZW19
            
            Call
            Purchased
            
              
                
                  
                    Deutsche Bank
                    9J6MBOOO7BECTDTUZW19
                  
                  
                    DEUTSCHE BANK SECURITIES INC
                    9J6MBOOO7BECTDTUZW19
                    FSWP: USD 1.937500 17-NOV-2033
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2033-11-17
                  N/A
                  N/A
                  N/A
                  N/A
                  370000.000000000000
                  USD
                
              
            
            370000.000000000000000
            USD
            1.937500000000
            USD
            2023-11-15
            XXXX
            -5613.940000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.194000 15-NOV-2051
        000000000
        
          
        
        50000.000000000000
        OU
        Notional Amount
        
        11531.720000000000
        0.0095979178
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
              
                
              
            
            
            2051-11-15
            2.500000000000
            USD
            0.000000000000
            USD
            50000.000000000000
            EUR
            11529.220000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: EUR -0.084500 15-AUG-2026
        000000000
        
          
        
        1055000.000000000000
        OU
        Notional Amount
        
        -51153.710000000000
        -0.0425755310
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Euribor 6 Month ACT/360
                EURIBOR65
              
            
            Y
            
            
              
                
              
            
            2026-08-15
            10.890000000000
            USD
            0.000000000000
            USD
            1055000.000000000000
            EUR
            -50799.540000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.626000 22-NOV-2051
        000000000
        
          
        
        20000.000000000000
        OU
        Notional Amount
        USD
        -1373.980000000000
        -0.0011435716
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
            
              
                
              
            
            2051-11-22
            0.890000000000
            USD
            0.000000000000
            USD
            20000.000000000000
            USD
            -1374.870000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.613000 24-NOV-2051
        000000000
        
          
        
        75000.000000000000
        OU
        Notional Amount
        USD
        -5494.510000000000
        -0.0045731127
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                US CPI Urban Consumers NSA
                CM4588021
              
            
            Y
            
            
              
                
              
            
            2051-11-24
            3.320000000000
            USD
            0.000000000000
            USD
            75000.000000000000
            USD
            -5497.830000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SWP: IFS 2.127000 15-NOV-2051
        000000000
        
          
        
        50000.000000000000
        OU
        Notional Amount
        
        13103.540000000000
        0.0109061527
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
                CM0009992
              
            
            Y
            
              
                
              
            
            
            2051-11-15
            2.490000000000
            USD
            0.000000000000
            USD
            50000.000000000000
            EUR
            13101.050000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.059000 24-FEB-2024
        000000000
        
          
        
        620000.000000000000
        OU
        Notional Amount
        USD
        16030.710000000000
        0.0133424534
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-02-24
            2.330000000000
            USD
            0.000000000000
            USD
            620000.000000000000
            USD
            15690.300000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.068500 25-FEB-2024
        000000000
        
          
        
        50000.000000000000
        OU
        Notional Amount
        USD
        1284.060000000000
        0.0010687306
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-02-25
            0.190000000000
            USD
            0.000000000000
            USD
            50000.000000000000
            USD
            1286.100000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.634500 26-MAY-2027
        000000000
        
          
        
        510000.000000000000
        OU
        Notional Amount
        USD
        -21468.750000000000
        -0.0178685658
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2027-05-26
            4.420000000000
            USD
            0.000000000000
            USD
            510000.000000000000
            USD
            -21473.170000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FSWP: USD 1.052500 28-FEB-2024
        000000000
        
          
        
        1230000.000000000000
        OU
        Notional Amount
        USD
        32037.060000000000
        0.0266646318
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-02-28
            4.640000000000
            USD
            0.000000000000
            USD
            1230000.000000000000
            USD
            31452.120000000000
          
        
        
          N
          N
          N
        
      
    
    
      
      
      
      
    
    
      2022-04-26
      Columbia Funds Variable Series Trust II
      Martha Skinner
      Martha Skinner
      Assistant Treasurer
    
  
  XXXX




Portfolio of Investments
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
Corporate Bonds & Notes 0.5%
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Belgium 0.5%
European Union(a),(b)
07/04/2031 0.000% EUR 580,000 583,475
Total Corporate Bonds & Notes
(Cost $620,991)
583,475
Foreign Government Obligations(c),(d) 0.8%
Colombia 0.1%
Colombia Government International Bond
01/30/2030 3.000%   100,000 86,059
Mexico 0.3%
Mexico Government International Bond
10/25/2033 1.450% EUR 415,000 386,733
New Zealand 0.1%
New Zealand Government Bond
05/15/2041 1.750% NZD 163,000 87,305
Panama 0.0%
Panama Government International Bond
04/01/2056 4.500%   75,000 73,616
Peru 0.1%
Peruvian Government International Bond
03/11/2033 1.250% EUR 100,000 95,742
Romania 0.2%
Romanian Government International Bond(a)
05/26/2030 3.624% EUR 105,000 113,772
02/07/2034 3.750% EUR 85,000 87,956
Total 201,728
Total Foreign Government Obligations
(Cost $1,058,150)
931,183
Inflation-Indexed Bonds(c) 94.8%
Australia 1.0%
Australia Government Bond(a)
09/20/2030 2.500% AUD 371,900 332,445
08/21/2035 2.000% AUD 287,202 257,694
08/21/2040 1.250% AUD 129,356 105,774
02/21/2050 1.000% AUD 79,968 62,646
Australia Government Index-Linked Bond(a)
09/20/2025 3.000% AUD 562,162 472,946
Total 1,231,505
Inflation-Indexed Bonds(c) (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Canada 1.6%
Canadian Government Real Return Bond
12/01/2026 4.250% CAD 239,890 234,572
12/01/2031 4.000% CAD 325,954 356,654
12/01/2036 3.000% CAD 246,888 269,209
12/01/2041 2.000% CAD 280,883 285,014
12/01/2044 1.500% CAD 370,791 353,784
12/01/2047 1.250% CAD 276,952 256,402
12/01/2050 0.500% CAD 218,006 171,905
12/01/2054 0.250% CAD 36,411 26,605
Total 1,954,145
Denmark 0.3%
Denmark Government Bond
11/15/2023 0.100% DKK 1,764,978 283,316
Denmark I/L Government Bond(a)
11/15/2030 0.100% DKK 334,521 59,505
Total 342,821
France 8.3%
France Government Bond OAT(a)
07/25/2023 2.100% EUR 206,251 249,423
03/01/2025 0.100% EUR 402,851 487,185
07/25/2027 1.850% EUR 800,251 1,103,491
07/25/2029 3.400% EUR 382,923 602,576
07/25/2030 0.700% EUR 1,556,555 2,128,216
07/25/2032 3.150% EUR 476,378 814,467
07/25/2047 0.100% EUR 164,810 246,276
French Republic Government Bond OAT(a)
07/25/2024 0.250% EUR 195,704 239,000
03/01/2026 0.100% EUR 461,639 571,837
03/01/2028 0.100% EUR 439,717 550,824
03/01/2029 0.100% EUR 376,144 482,243
07/25/2031 0.100% EUR 173,384 227,076
03/01/2032 0.100% EUR 108,230 140,533
03/01/2036 0.100% EUR 395,699 529,762
07/25/2036 0.100% EUR 113,692 153,768
07/25/2040 1.800% EUR 530,794 953,285
07/25/2053 0.100% EUR 350,792 543,319
Total 10,023,281
Germany 2.8%
Deutsche Bundesrepublik Inflation-Linked Bond(a)
04/15/2023 0.100% EUR 1,681,338 1,978,709
04/15/2026 0.100% EUR 554,725 691,586
04/15/2046 0.100% EUR 385,634 678,105
Total 3,348,400
CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022
1

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Inflation-Indexed Bonds(c) (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Italy 5.7%
Italy Buoni Poliennali Del Tesoro(a)
05/22/2023 0.450% EUR 176,056 204,538
09/15/2023 2.600% EUR 1,392,590 1,718,409
09/15/2026 3.100% EUR 449,480 613,419
05/15/2028 1.300% EUR 472,746 602,892
09/15/2032 1.250% EUR 549,840 717,292
05/15/2033 0.100% EUR 204,672 235,658
09/15/2035 2.350% EUR 513,252 770,919
09/15/2041 2.550% EUR 472,455 788,378
05/15/2051 0.150% EUR 258,617 285,445
Italy Buoni Poliennali Del Tesoro
05/15/2026 0.650% EUR 189,013 230,540
05/15/2030 0.400% EUR 532,720 639,465
Total 6,806,955
Japan 2.9%
Japanese Government CPI-Linked Bond
09/10/2023 0.100% JPY 739,200 6,200
03/10/2024 0.100% JPY 104,900 884
09/10/2024 0.100% JPY 43,494,600 368,707
03/10/2025 0.100% JPY 119,895,600 1,018,331
03/10/2026 0.100% JPY 94,830,464 810,117
03/10/2027 0.100% JPY 89,162,820 778,960
03/10/2028 0.100% JPY 30,572,570 264,338
03/10/2031 0.005% JPY 27,214,192 236,194
Total 3,483,731
New Zealand 0.8%
New Zealand Government Inflation-Linked Bond(a)
09/20/2025 2.000% NZD 583,357 430,436
09/20/2035 2.500% NZD 167,209 135,796
New Zealand Government Inflation-Linked Bond
09/20/2040 2.500% NZD 404,741 337,653
Total 903,885
Spain 2.2%
Spain Government Inflation-Linked Bond
11/30/2023 0.150% EUR 210,814 252,869
Spain Government Inflation-Linked Bond(a)
11/30/2024 1.800% EUR 446,456 567,465
11/30/2027 0.650% EUR 438,888 559,000
11/30/2030 1.000% EUR 505,696 678,473
11/30/2033 0.700% EUR 463,792 614,006
Total 2,671,813
Sweden 0.9%
Sweden Inflation-Linked Bond
06/01/2022 0.250% SEK 2,804,719 303,244
06/01/2025 1.000% SEK 3,347,775 394,594
12/01/2028 3.500% SEK 1,717,536 252,377
Inflation-Indexed Bonds(c) (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Sweden Inflation-Linked Bond(a)
06/01/2030 0.125% SEK 375,266 46,364
06/01/2032 0.125% SEK 671,347 83,134
Total 1,079,713
United Kingdom 23.0%
United Kingdom Gilt Inflation-Linked Bond(a)
11/22/2027 1.250% GBP 663,013 1,116,948
08/10/2028 0.125% GBP 102,398 165,246
07/22/2030 4.125% GBP 193,105 429,744
11/22/2032 1.250% GBP 475,527 928,822
03/22/2034 0.750% GBP 533,539 1,023,077
01/26/2035 2.000% GBP 566,733 1,271,557
11/22/2036 0.125% GBP 543,714 1,035,655
11/22/2037 1.125% GBP 612,643 1,341,365
03/22/2040 0.625% GBP 645,603 1,385,746
08/10/2041 0.125% GBP 459,440 945,238
11/22/2042 0.625% GBP 613,077 1,390,372
03/22/2044 0.125% GBP 648,707 1,374,415
03/22/2046 0.125% GBP 516,376 1,129,033
11/22/2047 0.750% GBP 587,320 1,488,309
08/10/2048 0.125% GBP 439,333 1,000,195
03/22/2050 0.500% GBP 554,329 1,401,979
03/22/2051 0.125% GBP 178,235 422,698
03/22/2052 0.250% GBP 498,765 1,239,303
11/22/2055 1.250% GBP 540,521 1,764,015
11/22/2056 0.125% GBP 278,021 720,337
03/22/2058 0.125% GBP 424,614 1,124,881
03/22/2062 0.375% GBP 518,657 1,561,289
11/22/2065 0.125% GBP 314,729 956,432
03/22/2068 0.125% GBP 547,961 1,775,116
United Kingdom Inflation-Linked Gilt(a)
08/10/2031 0.125% GBP 167,721 288,951
03/22/2039 0.125% GBP 139,190 273,901
Total 27,554,624
United States 45.3%
U.S. Treasury Inflation-Indexed Bond
04/15/2023 0.625%   1,596,616 1,662,390
07/15/2023 0.375%   1,424,483 1,492,961
01/15/2024 0.625%   1,764,018 1,852,107
04/15/2024 0.500%   1,276,377 1,338,717
07/15/2024 0.125%   2,379,940 2,492,179
10/15/2024 0.125%   252,039 263,164
01/15/2025 0.250%   2,635,162 2,759,039
01/15/2025 2.375%   275,933 305,682
04/15/2025 0.125%   770,078 802,997
07/15/2025 0.375%   1,416,744 1,495,960
10/15/2025 0.125%   1,316,513 1,377,599
01/15/2026 0.625%   709,938 755,062
01/15/2026 2.000%   1,352,777 1,511,354
04/15/2026 0.125%   1,409,759 1,470,064
07/15/2026 0.125%   1,479,040 1,550,176
10/15/2026 0.125%   751,075 787,286
01/15/2027 0.375%   979,297 1,034,784
 
2 CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Inflation-Indexed Bonds(c) (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
01/15/2027 2.375%   982,869 1,136,200
07/15/2027 0.375%   1,275,756 1,353,961
01/15/2028 1.750%   751,531 857,046
04/15/2028 3.625%   71,269 90,065
07/15/2028 0.750%   1,684,540 1,838,190
01/15/2029 2.500%   723,493 878,463
07/15/2029 0.250%   1,884,991 2,006,851
01/15/2030 0.125%   1,458,821 1,535,560
07/15/2030 0.125%   1,359,734 1,440,611
01/15/2031 0.125%   1,387,839 1,468,633
07/15/2031 0.125%   1,819,980 1,934,587
01/15/2032 0.125%   1,171,436 1,245,399
04/15/2032 3.375%   262,932 369,829
02/15/2040 2.125%   608,760 856,971
02/15/2041 2.125%   937,196 1,324,286
02/15/2042 0.750%   1,031,467 1,176,455
02/15/2043 0.625%   959,945 1,069,852
02/15/2044 1.375%   741,899 950,118
02/15/2045 0.750%   847,690 970,660
02/15/2046 1.000%   658,541 801,023
02/15/2047 0.875%   663,873 792,972
02/15/2048 1.000%   701,168 868,718
02/15/2049 1.000%   430,153 537,394
02/15/2050 0.250%   705,346 740,994
02/15/2051 0.125%   858,505 879,902
02/15/2052 0.125%   75,747 78,595
U.S. Treasury Inflation-Indexed Bond(e)
01/15/2028 0.500%   1,862,303 1,985,132
01/15/2029 0.875%   2,068,901 2,277,312
Total 54,417,300
Total Inflation-Indexed Bonds
(Cost $110,202,708)
113,818,173
U.S. Treasury Obligations 1.2%
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
United States 1.2%
U.S. Treasury
08/15/2041 1.750%   1,755,000 1,519,995
Total U.S. Treasury Obligations
(Cost $1,680,726)
1,519,995
    
Options Purchased Calls 0.1%
          Value ($)
(Cost $112,452) 88,973
Options Purchased Puts 0.2%
(Cost $207,931) 224,120
    
Money Market Funds 2.5%
  Shares Value ($)
Columbia Short-Term Cash Fund, 0.308%(f),(g) 3,026,868 3,025,657
Total Money Market Funds
(Cost $3,025,787)
3,025,657
Total Investments in Securities
(Cost $116,908,745)
120,191,576
Other Assets & Liabilities, Net   (116,013)
Net Assets $120,075,563
 
At March 31, 2022, securities and/or cash totaling $912,613 were pledged as collateral.
Investments in derivatives
Forward foreign currency exchange contracts
Currency to
be sold
Currency to
be purchased
Counterparty Settlement
date
Unrealized
appreciation ($)
Unrealized
depreciation ($)
5,384,133 GBP 7,169,832 USD Citi 04/05/2022 97,011
2,137,757 JPY 18,574 USD Citi 04/05/2022 1,013
133,045 SEK 14,109 USD Citi 04/05/2022 (42)
87,543 USD 120,571 AUD Citi 04/05/2022 2,682
38,630 USD 48,988 CAD Citi 04/05/2022 556
185,000 USD 164,479 EUR Citi 04/05/2022 (3,040)
288,397 USD 214,882 GBP Citi 04/05/2022 (6,119)
1,922,780 AUD 1,393,835 USD Deutsche Bank 04/05/2022 (44,999)
2,572,988 CAD 2,027,382 USD Deutsche Bank 04/05/2022 (30,751)
2,237,000 DKK 334,582 USD Deutsche Bank 04/05/2022 1,888
21,482,592 EUR 24,083,565 USD Deutsche Bank 04/05/2022 317,746
176,636 EUR 194,902 USD Deutsche Bank 04/05/2022 (507)
16,322,879 GBP 21,872,964 USD Deutsche Bank 04/05/2022 430,550
CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022
3

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Forward foreign currency exchange contracts (continued)
Currency to
be sold
Currency to
be purchased
Counterparty Settlement
date
Unrealized
appreciation ($)
Unrealized
depreciation ($)
417,565,000 JPY 3,638,111 USD Deutsche Bank 04/05/2022 208,070
1,467,000 NZD 993,254 USD Deutsche Bank 04/05/2022 (23,435)
10,136,000 SEK 1,044,732 USD Deutsche Bank 04/05/2022 (33,310)
23,906,585 USD 21,462,098 EUR Deutsche Bank 04/05/2022 (163,438)
21,251,141 USD 16,188,879 GBP Deutsche Bank 04/05/2022 15,245
21,795,416 EUR 24,298,634 USD Deutsche Bank 05/04/2022 166,095
94,097 GBP 123,654 USD Deutsche Bank 05/04/2022 67
16,303,879 GBP 21,398,106 USD Deutsche Bank 05/04/2022 (15,409)
58,729 USD 78,177 AUD Deutsche Bank 05/04/2022 (208)
60,676 USD 75,803 CAD Deutsche Bank 05/04/2022 (50)
1,567,635 USD 1,190,863 GBP Deutsche Bank 05/04/2022 (3,556)
19,455 USD 27,983 NZD Deutsche Bank 05/04/2022 (71)
18,001 USD 167,660 SEK Deutsche Bank 05/04/2022 (159)
6,619,267 JPY 54,567 USD Deutsche Bank 05/06/2022 159
225,338 USD 205,000 EUR Deutsche Bank 06/15/2022 2,086
Total       1,243,168 (325,094)
    
Long futures contracts
Description Number of
contracts
Expiration
date
Trading
currency
Notional
amount
Value/Unrealized
appreciation ($)
Value/Unrealized
depreciation ($)
3-Month Euro Euribor 22 12/2023 EUR 5,428,500 (2,760)
3-Month SONIA 10 12/2022 GBP 2,452,500 (34,050)
Euro-Bund 4 06/2022 EUR 634,640 (11,851)
Long Gilt 20 06/2022 GBP 2,424,600 (38,624)
U.S. Treasury 10-Year Note 5 06/2022 USD 614,375 (10,462)
U.S. Treasury 2-Year Note 7 06/2022 USD 1,483,453 3,708
U.S. Treasury 5-Year Note 4 06/2022 USD 458,750 (13,380)
Total         3,708 (111,127)
    
Short futures contracts
Description Number of
contracts
Expiration
date
Trading
currency
Notional
amount
Value/Unrealized
appreciation ($)
Value/Unrealized
depreciation ($)
3-Month Euro Euribor (22) 12/2022 EUR (5,484,600) (527)
Euro-Bobl (22) 06/2022 EUR (2,834,920) 67,048
Euro-Buxl 30-Year (2) 06/2022 EUR (372,400) 14,360
Eurodollar 90-Day (5) 12/2024 USD (1,216,188) 15,645
Euro-OAT (6) 06/2022 EUR (909,060) 46,199
U.S. Treasury Ultra 10-Year Note (9) 06/2022 USD (1,219,219) 47,611
U.S. Ultra Treasury Bond (5) 06/2022 USD (885,625) 28,402
U.S. Ultra Treasury Bond (1) 06/2022 USD (177,125) (970)
Total         219,265 (1,497)
    
Call option contracts purchased
Description Counterparty Trading
currency
Notional
amount
Number of
contracts
Exercise
price/Rate
Expiration
date
Cost ($) Value ($)
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR Citi USD 130,000 130,000 1.42 08/02/2024 3,728 3,245
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR Citi USD 220,000 220,000 1.23 02/25/2025 5,395 5,381
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR Citi USD 370,000 370,000 2.82 12/06/2038 41,440 38,509
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA Deutsche Bank USD 370,000 370,000 1.94 11/15/2023 14,846 9,232
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA Deutsche Bank USD 290,000 290,000 1.55 07/29/2024 10,527 6,233
4 CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Call option contracts purchased (continued)
Description Counterparty Trading
currency
Notional
amount
Number of
contracts
Exercise
price/Rate
Expiration
date
Cost ($) Value ($)
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR Deutsche Bank USD 205,000 205,000 1.71 06/24/2024 8,292 6,720
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR Deutsche Bank USD 205,000 205,000 1.74 06/28/2024 8,588 6,966
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR Deutsche Bank USD 130,000 130,000 1.42 07/22/2024 3,623 3,186
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR Deutsche Bank USD 95,000 95,000 1.02 06/04/2025 1,837 2,028
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR Deutsche Bank USD 95,000 95,000 1.16 06/05/2025 2,259 2,328
5-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR Deutsche Bank USD 735,000 735,000 1.59 01/12/2023 11,062 4,676
U.S. Treasury 10-Year Note UBS USD 614,375 5 126.00 04/22/2022 855 469
Total             112,452 88,973
    
Put option contracts purchased
Description Counterparty Trading
currency
Notional
amount
Number of
contracts
Exercise
price/Rate
Expiration
date
Cost ($) Value ($)
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate Citi USD 380,000 380,000 2.50 06/13/2024 16,763 16,434
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate Citi USD 380,000 380,000 2.50 06/20/2024 15,708 16,462
10-Year OTC interest rate swap with Citi to receive SOFR and pay exercise rate Citi USD 130,000 130,000 1.42 08/02/2024 8,166 10,769
10-Year OTC interest rate swap with Citi to receive SOFR and pay exercise rate Citi USD 220,000 220,000 1.23 02/25/2025 18,441 21,034
10-Year OTC interest rate swap with Citi to receive SOFR and pay exercise rate Citi USD 370,000 370,000 2.82 12/06/2038 14,574 15,193
10-Year OTC interest rate swap with Deutsche Bank to receive 1-Day JPY TONA and pay exercise rate Deutsche Bank JPY 197,935,000 197,935,000 1.04 06/29/2022 57
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate Deutsche Bank USD 370,000 370,000 1.94 11/15/2023 14,846 24,350
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate Deutsche Bank USD 410,000 410,000 2.13 02/15/2023 11,675 14,778
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate Deutsche Bank USD 205,000 205,000 1.74 06/28/2024 9,609 13,347
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate Deutsche Bank USD 130,000 130,000 1.42 07/22/2024 8,088 10,790
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate Deutsche Bank USD 410,000 410,000 1.54 08/05/2024 23,130 31,179
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate Deutsche Bank USD 95,000 95,000 1.02 06/04/2025 9,102 10,374
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate Deutsche Bank USD 95,000 95,000 1.16 06/05/2025 8,343 9,562
30-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate Citi USD 470,000 470,000 2.85 05/09/2022 27,754 416
5-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate Deutsche Bank USD 840,000 840,000 2.75 08/01/2022 819 4,568
5-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate Deutsche Bank USD 735,000 735,000 2.59 01/12/2023 8,695 10,416
5-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate Deutsche Bank USD 205,000 205,000 1.71 06/24/2024 9,843 13,641
U.S. Treasury 10-Year Note UBS USD 245,750 2 121.50 04/22/2022 2,375 750
Total             207,931 224,120
    
CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022
5

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Call option contracts written
Description Counterparty Trading
currency
Notional
amount
Number of
contracts
Exercise
price/Rate
Expiration
date
Premium
received ($)
Value ($)
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate Citi USD (170,000) (170,000) 1.25 12/30/2022 (5,606) (584)
10-Year OTC interest rate swap with Deutsche Bank to receive 1-Day USD SOFR and pay exercise rate Deutsche Bank USD (260,000) (260,000) 1.44 12/05/2022 (7,920) (2,016)
10-Year OTC interest rate swap with Deutsche Bank to receive 1-Day USD SOFR and pay exercise rate Deutsche Bank USD (417,000) (417,000) 1.43 12/13/2022 (11,801) (3,320)
10-Year OTC interest rate swap with Deutsche Bank to receive 1-Day USD SOFR and pay exercise rate Deutsche Bank USD (418,000) (418,000) 1.43 12/15/2022 (11,767) (3,316)
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate Deutsche Bank USD (490,000) (490,000) 1.53 9/01/2022 (13,009) (1,331)
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate Deutsche Bank USD (245,000) (245,000) 1.80 10/07/2022 (6,737) (1,694)
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate Deutsche Bank USD (245,000) (245,000) 1.80 10/13/2022 (6,670) (1,713)
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate Deutsche Bank USD (520,000) (520,000) 1.85 11/15/2022 (15,366) (4,711)
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate Deutsche Bank USD (155,000) (155,000) 1.23 12/16/2022 (5,084) (476)
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate Deutsche Bank USD (155,000) (155,000) 1.24 12/16/2022 (5,068) (486)
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate Deutsche Bank USD (160,000) (160,000) 1.45 8/03/2022 (1,864) (508)
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate Deutsche Bank USD (160,000) (160,000) 1.55 8/08/2022 (1,936) (706)
2-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate Citi USD (3,230,000) (3,230,000) 0.61 4/01/2022 (7,752)
2-Year OTC interest rate swap with Citi to receive SOFR and pay exercise rate Citi USD (1,027,000) (1,027,000) 1.39 2/17/2023 (3,679) (1,490)
2-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate Deutsche Bank USD (2,775,000) (2,775,000) 1.74 11/15/2022 (15,297) (4,499)
2-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate Deutsche Bank USD (2,775,000) (2,775,000) 1.78 11/15/2022 (14,569) (4,882)
2-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate Deutsche Bank USD (1,965,000) (1,965,000) 1.25 1/10/2023 (7,713) (1,637)
2-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate Deutsche Bank USD (1,965,000) (1,965,000) 1.25 1/12/2023 (7,919) (1,688)
2-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate Deutsche Bank USD (830,000) (830,000) 1.36 1/18/2023 (3,370) (921)
U.S. Treasury 10-Year Note UBS USD (614,375) (5) 128.00 4/22/2022 (301) (234)
Total             (153,428) (36,212)
    
Put option contracts written
Description Counterparty Trading
currency
Notional
amount
Number of
contracts
Exercise
price/Rate
Expiration
date
Premium
received ($)
Value ($)
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA Citi USD (1,020,000) (1,020,000) 2.75 05/09/2022 (30,054) (3,058)
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA Citi USD (170,000) (170,000) 1.25 12/30/2022 (5,606) (18,753)
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA Citi USD (380,000) (380,000) 3.50 06/13/2024 (6,286) (6,883)
6 CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Put option contracts written (continued)
Description Counterparty Trading
currency
Notional
amount
Number of
contracts
Exercise
price/Rate
Expiration
date
Premium
received ($)
Value ($)
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA Citi USD (380,000) (380,000) 3.00 06/13/2024 (10,477) (10,661)
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA Citi USD (380,000) (380,000) 3.50 06/20/2024 (5,680) (6,911)
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA Citi USD (380,000) (380,000) 3.00 06/20/2024 (9,428) (10,692)
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA Citi USD (400,000) (400,000) 2.25 08/20/2024 (12,000) (21,686)
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 1-Day USD SOFR Deutsche Bank USD (260,000) (260,000) 1.44 12/05/2022 (7,920) (19,008)
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 1-Day USD SOFR Deutsche Bank USD (417,000) (417,000) 1.43 12/13/2022 (11,801) (30,754)
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 1-Day USD SOFR Deutsche Bank USD (418,000) (418,000) 1.43 12/15/2022 (11,767) (31,372)
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA Deutsche Bank USD (490,000) (490,000) 1.53 09/01/2022 (13,009) (41,979)
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA Deutsche Bank USD (245,000) (245,000) 1.80 10/07/2022 (6,737) (16,142)
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA Deutsche Bank USD (245,000) (245,000) 1.80 10/13/2022 (6,670) (16,280)
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA Deutsche Bank USD (520,000) (520,000) 1.85 11/15/2022 (15,366) (33,243)
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA Deutsche Bank USD (155,000) (155,000) 1.24 12/16/2022 (5,069) (17,218)
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA Deutsche Bank USD (155,000) (155,000) 1.23 12/16/2022 (5,084) (17,345)
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR Deutsche Bank USD (160,000) (160,000) 1.95 08/03/2022 (1,864) (5,437)
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR Deutsche Bank USD (160,000) (160,000) 2.05 08/08/2022 (1,936) (4,605)
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA Citi USD (3,230,000) (3,230,000) 0.61 04/01/2022 (7,752) (120,089)
2-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR Citi USD (1,542,000) (1,542,000) 2.39 02/17/2023 (6,989) (19,430)
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA Deutsche Bank USD (3,230,000) (3,230,000) 0.74 04/06/2022 (5,168) (112,068)
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR Deutsche Bank USD (1,965,000) (1,965,000) 1.75 01/10/2023 (7,713) (40,543)
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR Deutsche Bank USD (1,965,000) (1,965,000) 1.75 01/12/2023 (7,919) (40,565)
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR Deutsche Bank USD (1,890,000) (1,890,000) 2.25 02/15/2023 (13,203) (26,842)
Total             (215,498) (671,564)
    
CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022
7

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Cleared interest rate swap contracts
Fund receives Fund pays Payment
frequency
Counterparty Maturity
date
Notional
currency
Notional
amount
Value
($)
Upfront
payments
($)
Upfront
receipts
($)
Unrealized
appreciation
($)
Unrealized
depreciation
($)
Fixed rate of 3.746% UK Retail Price Index All Items Monthly Receives at Maturity, Pays at Maturity Citi 04/15/2031 GBP 150,000 (32,612) (32,612)
Fixed rate of 0.622% SOFR Receives Annually, Pays Annually Goldman Sachs 03/02/2023 USD 475,000 (1,882) (1,882)
3-Month USD LIBOR Fixed rate of 1.771% Receives Quarterly, Pays SemiAnnually Goldman Sachs 07/12/2023 USD 3,380,000 23,394 23,394
Fixed rate of 0.093% SOFR Receives Annually, Pays Annually Goldman Sachs 11/18/2023 USD 380,000 (3,878) (3,878)
Fixed rate of 0.240% SOFR Receives Annually, Pays Annually Goldman Sachs 12/08/2023 USD 960,000 (9,873) (9,873)
Fixed rate of 0.190% SOFR Receives Annually, Pays Annually Goldman Sachs 12/14/2023 USD 963,000 (10,255) (10,255)
Fixed rate of 0.248% SOFR Receives Annually, Pays Annually Goldman Sachs 01/12/2024 USD 2,490,000 (27,389) (27,389)
Fixed rate of 0.240% SOFR Receives Annually, Pays Annually Goldman Sachs 01/24/2024 USD 680,000 (7,802) (7,802)
3-Month USD LIBOR Fixed rate of 1.059% Receives Quarterly, Pays SemiAnnually Goldman Sachs 02/24/2024 USD 620,000 15,690 15,690
3-Month USD LIBOR Fixed rate of 1.069% Receives Quarterly, Pays SemiAnnually Goldman Sachs 02/25/2024 USD 50,000 1,286 1,286
3-Month USD LIBOR Fixed rate of 1.053% Receives Quarterly, Pays SemiAnnually Goldman Sachs 02/28/2024 USD 1,230,000 31,452 31,452
3-Month USD LIBOR Fixed rate of 1.062% Receives Quarterly, Pays SemiAnnually Goldman Sachs 02/29/2024 USD 140,000 3,562 3,562
Fixed rate of 0.248% SOFR Receives Annually, Pays Annually Goldman Sachs 03/04/2024 USD 1,850,000 (26,826) (26,826)
Fixed rate of 0.000% 3-Month USD LIBOR Receives SemiAnnually, Pays Quarterly Goldman Sachs 03/07/2024 USD 1,095,000 (37,078) (37,078)
3-Month USD LIBOR Fixed rate of 0.000% Receives Quarterly, Pays SemiAnnually Goldman Sachs 03/23/2024 USD 1,095,000 (37,558) (37,558)
3-Month USD LIBOR Fixed rate of 0.563% Receives Quarterly, Pays SemiAnnually Goldman Sachs 03/24/2024 USD 280,000 10,524 10,524
Fixed rate of 0.568% 3-Month USD LIBOR Receives SemiAnnually, Pays SemiAnnually Goldman Sachs 03/25/2024 USD 2,170,000 (74,326) (74,326)
3-Month USD LIBOR Fixed rate of 1.097% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/04/2024 USD 155,000 4,268 4,268
3-Month USD LIBOR Fixed rate of 1.087% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/05/2024 USD 210,000 5,835 5,835
SOFR Fixed rate of 0.986% Receives Annually, Pays Annually Goldman Sachs 04/07/2024 USD 620,000 15,430 15,430
SOFR Fixed rate of 0.988% Receives Annually, Pays Annually Goldman Sachs 04/07/2024 USD 620,000 15,405 15,405
3-Month USD LIBOR Fixed rate of 0.633% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/08/2024 USD 1,070,000 39,374 39,374
3-Month USD LIBOR Fixed rate of 0.649% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/11/2024 USD 590,000 21,597 21,597
3-Month USD LIBOR Fixed rate of 0.661% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/11/2024 USD 340,000 12,370 12,370
3-Month USD LIBOR Fixed rate of 0.677% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/12/2024 USD 600,000 21,664 21,664
3-Month USD LIBOR Fixed rate of 0.689% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/12/2024 USD 600,000 21,525 21,525
SOFR Fixed rate of 1.078% Receives Annually, Pays Annually Goldman Sachs 04/13/2024 USD 1,210,000 28,436 28,436
3-Month USD LIBOR Fixed rate of 0.789% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/14/2024 USD 590,000 20,117 20,117
8 CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Cleared interest rate swap contracts (continued)
Fund receives Fund pays Payment
frequency
Counterparty Maturity
date
Notional
currency
Notional
amount
Value
($)
Upfront
payments
($)
Upfront
receipts
($)
Unrealized
appreciation
($)
Unrealized
depreciation
($)
3-Month USD LIBOR Fixed rate of 0.797% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/14/2024 USD 590,000 20,016 20,016
3-Month USD LIBOR Fixed rate of 0.728% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/14/2024 USD 360,000 12,704 12,704
3-Month USD LIBOR Fixed rate of 0.761% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/19/2024 USD 310,000 10,790 10,790
3-Month USD LIBOR Fixed rate of 0.762% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/19/2024 USD 310,000 10,783 10,783
3-Month USD LIBOR Fixed rate of 0.935% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/20/2024 USD 450,000 14,203 14,203
3-Month USD LIBOR Fixed rate of 0.919% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/20/2024 USD 300,000 9,564 9,564
3-Month USD LIBOR Fixed rate of 0.898% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/20/2024 USD 130,000 4,197 4,197
Fixed rate of 0.332% SOFR Receives Annually, Pays Annually Goldman Sachs 04/20/2024 USD 560,000 (7,517) (7,517)
3-Month USD LIBOR Fixed rate of 0.913% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/25/2024 USD 600,000 19,310 19,310
3-Month USD LIBOR Fixed rate of 0.945% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/25/2024 USD 607,000 19,157 19,157
3-Month USD LIBOR Fixed rate of 0.929% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/25/2024 USD 303,000 9,654 9,654
3-Month USD LIBOR Fixed rate of 0.975% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/26/2024 USD 305,000 9,463 9,463
3-Month USD LIBOR Fixed rate of 0.985% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/26/2024 USD 305,000 9,405 9,405
3-Month USD LIBOR Fixed rate of 0.993% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/26/2024 USD 305,000 9,356 9,356
3-Month USD LIBOR Fixed rate of 1.007% Receives Quarterly, Pays SemiAnnually Goldman Sachs 05/03/2024 USD 925,000 28,505 28,505
3-Month USD LIBOR Fixed rate of 1.018% Receives Quarterly, Pays SemiAnnually Goldman Sachs 05/03/2024 USD 925,000 28,316 28,316
Fixed rate of 2.345% SOFR Receives Annually, Pays Annually Goldman Sachs 05/03/2024 USD 1,630,000 (7) (7)
3-Month USD LIBOR Fixed rate of 1.053% Receives Quarterly, Pays SemiAnnually Goldman Sachs 05/12/2024 USD 620,000 18,920 18,920
3-Month USD LIBOR Fixed rate of 1.059% Receives Quarterly, Pays SemiAnnually Goldman Sachs 05/12/2024 USD 310,000 9,425 9,425
3-Month USD LIBOR Fixed rate of 1.075% Receives Quarterly, Pays SemiAnnually Goldman Sachs 05/12/2024 USD 310,000 9,331 9,331
3-Month USD LIBOR Fixed rate of 1.096% Receives Quarterly, Pays SemiAnnually Goldman Sachs 05/17/2024 USD 90,000 2,692 2,692
3-Month USD LIBOR Fixed rate of 1.224% Receives Quarterly, Pays SemiAnnually Goldman Sachs 06/07/2024 USD 315,000 8,989 8,989
3-Month USD LIBOR Fixed rate of 1.252% Receives Quarterly, Pays SemiAnnually Goldman Sachs 06/07/2024 USD 315,000 8,818 8,818
SOFR Fixed rate of 1.012% Receives Annually, Pays Annually Goldman Sachs 06/09/2024 USD 310,000 8,650 8,650
3-Month USD LIBOR Fixed rate of 1.277% Receives Quarterly, Pays SemiAnnually Goldman Sachs 06/17/2024 USD 310,000 8,690 8,690
3-Month USD LIBOR Fixed rate of 0.729% Receives Quarterly, Pays SemiAnnually Goldman Sachs 06/21/2024 USD 580,000 22,505 22,505
Fixed rate of 2.500% SOFR Receives Annually, Pays Annually Goldman Sachs 07/05/2024 USD 730,000 (3) (3)
UK Retail Price Index All Items Monthly Fixed rate of 3.245% Receives at Maturity, Pays at Maturity Goldman Sachs 07/15/2024 GBP 550,000 85,029 85,029
CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022
9

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Cleared interest rate swap contracts (continued)
Fund receives Fund pays Payment
frequency
Counterparty Maturity
date
Notional
currency
Notional
amount
Value
($)
Upfront
payments
($)
Upfront
receipts
($)
Unrealized
appreciation
($)
Unrealized
depreciation
($)
SOFR Fixed rate of 1.374% Receives Annually, Pays Annually Goldman Sachs 07/20/2024 USD 310,000 6,970 6,970
SOFR Fixed rate of 1.471% Receives Annually, Pays Annually Goldman Sachs 07/29/2024 USD 305,000 6,362 6,362
SOFR Fixed rate of 1.479% Receives Annually, Pays Annually Goldman Sachs 07/29/2024 USD 305,000 6,315 6,315
Fixed rate of 0.850% SONIA Receives Annually, Pays Annually Goldman Sachs 07/30/2024 GBP 565,000 (18,950) (18,950)
SOFR Fixed rate of 1.619% Receives Annually, Pays Annually Goldman Sachs 08/08/2024 USD 610,000 11,134 11,134
3-Month USD LIBOR Fixed rate of 0.744% Receives Quarterly, Pays SemiAnnually Goldman Sachs 08/12/2024 USD 690,000 27,851 27,851
SOFR Fixed rate of 1.757% Receives Annually, Pays Annually Goldman Sachs 08/12/2024 USD 600,000 9,397 9,397
SOFR Fixed rate of 1.758% Receives Annually, Pays Annually Goldman Sachs 08/12/2024 USD 600,000 9,391 9,391
SOFR Fixed rate of 1.806% Receives Annually, Pays Annually Goldman Sachs 08/12/2024 USD 600,000 8,830 8,830
SOFR Fixed rate of 1.937% Receives Annually, Pays Annually Goldman Sachs 08/12/2024 USD 600,000 7,292 7,292
SOFR Fixed rate of 1.944% Receives Annually, Pays Annually Goldman Sachs 08/12/2024 USD 600,000 7,216 7,216
3-Month USD LIBOR Fixed rate of 0.782% Receives Quarterly, Pays SemiAnnually Goldman Sachs 08/15/2024 USD 370,000 14,688 14,688
SOFR Fixed rate of 1.900% Receives Annually, Pays Annually Goldman Sachs 08/15/2024 USD 350,000 4,534 4,534
SOFR Fixed rate of 1.895% Receives Annually, Pays Annually Goldman Sachs 08/17/2024 USD 450,000 5,914 5,914
SOFR Fixed rate of 1.896% Receives Annually, Pays Annually Goldman Sachs 08/29/2024 USD 305,000 3,987 3,987
SOFR Fixed rate of 1.892% Receives Annually, Pays Annually Goldman Sachs 08/29/2024 USD 265,000 3,485 3,485
Fixed rate of 1.722% SOFR Receives Annually, Pays Annually Goldman Sachs 09/02/2024 USD 305,000 (5,170) (5,170)
Fixed rate of 1.704% SOFR Receives Annually, Pays Annually Goldman Sachs 09/02/2024 USD 305,000 (5,274) (5,274)
Fixed rate of 1.462% SOFR Receives Annually, Pays Annually Goldman Sachs 09/06/2024 USD 310,000 (6,846) (6,846)
Fixed rate of 1.523% SOFR Receives Annually, Pays Annually Goldman Sachs 09/06/2024 USD 620,000 (12,963) (12,963)
Fixed rate of 1.520% SOFR Receives Annually, Pays Annually Goldman Sachs 09/06/2024 USD 620,000 (12,999) (12,999)
Fixed rate of 1.418% SOFR Receives Annually, Pays Annually Goldman Sachs 09/06/2024 USD 620,000 (14,223) (14,223)
SOFR Fixed rate of 2.428% Receives Annually, Pays Annually Goldman Sachs 09/07/2024 USD 310,000 1,028 1,028
SOFR Fixed rate of 2.445% Receives Annually, Pays Annually Goldman Sachs 09/07/2024 USD 310,000 925 925
Fixed rate of 1.713% SOFR Receives Annually, Pays Annually Goldman Sachs 09/07/2024 USD 300,000 (5,185) (5,185)
Fixed rate of 1.612% SOFR Receives Annually, Pays Annually Goldman Sachs 09/07/2024 USD 310,000 (5,968) (5,968)
SOFR Fixed rate of 1.894% Receives Annually, Pays Annually Goldman Sachs 09/13/2024 USD 630,000 8,738 8,738
SOFR Fixed rate of 1.931% Receives Annually, Pays Annually Goldman Sachs 09/13/2024 USD 630,000 8,279 8,279
10 CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Cleared interest rate swap contracts (continued)
Fund receives Fund pays Payment
frequency
Counterparty Maturity
date
Notional
currency
Notional
amount
Value
($)
Upfront
payments
($)
Upfront
receipts
($)
Unrealized
appreciation
($)
Unrealized
depreciation
($)
SOFR Fixed rate of 1.887% Receives Annually, Pays Annually Goldman Sachs 09/13/2024 USD 320,000 4,481 4,481
SOFR Fixed rate of 2.071% Receives Annually, Pays Annually Goldman Sachs 09/16/2024 USD 157,000 1,649 1,649
SOFR Fixed rate of 2.080% Receives Annually, Pays Annually Goldman Sachs 09/16/2024 USD 158,000 1,631 1,631
SOFR Fixed rate of 2.123% Receives Annually, Pays Annually Goldman Sachs 09/16/2024 USD 157,000 1,491 1,491
SOFR Fixed rate of 2.098% Receives Annually, Pays Annually Goldman Sachs 09/19/2024 USD 410,000 4,124 4,124
SOFR Fixed rate of 2.070% Receives Annually, Pays Annually Goldman Sachs 09/19/2024 USD 315,000 3,340 3,340
SOFR Fixed rate of 2.072% Receives Annually, Pays Annually Goldman Sachs 09/19/2024 USD 315,000 3,327 3,327
SOFR Fixed rate of 2.082% Receives Annually, Pays Annually Goldman Sachs 09/19/2024 USD 315,000 3,266 3,266
SOFR Fixed rate of 2.274% Receives Annually, Pays Annually Goldman Sachs 09/20/2024 USD 620,000 4,131 4,131
SOFR Fixed rate of 2.303% Receives Annually, Pays Annually Goldman Sachs 09/20/2024 USD 620,000 3,782 3,782
SOFR Fixed rate of 2.285% Receives Annually, Pays Annually Goldman Sachs 09/20/2024 USD 310,000 2,002 2,002
SOFR Fixed rate of 2.309% Receives Annually, Pays Annually Goldman Sachs 09/20/2024 USD 310,000 1,855 1,855
SOFR Fixed rate of 2.313% Receives Annually, Pays Annually Goldman Sachs 09/20/2024 USD 310,000 1,831 1,831
SOFR Fixed rate of 2.458% Receives Annually, Pays Annually Goldman Sachs 09/23/2024 USD 310,000 979 979
SOFR Fixed rate of 2.474% Receives Annually, Pays Annually Goldman Sachs 09/23/2024 USD 310,000 883 883
SOFR Fixed rate of 2.510% Receives Annually, Pays Annually Goldman Sachs 09/26/2024 USD 340,000 752 752
SOFR Fixed rate of 2.675% Receives Annually, Pays Annually Goldman Sachs 09/27/2024 USD 310,000 (303) (303)
SOFR Fixed rate of 2.676% Receives Annually, Pays Annually Goldman Sachs 09/27/2024 USD 310,000 (309) (309)
Fixed rate of 2.727% SOFR Receives Annually, Pays Annually Goldman Sachs 09/30/2024 USD 3,024,000 5,847 5,847
Fixed rate of 2.703% SOFR Receives Annually, Pays Annually Goldman Sachs 09/30/2024 USD 336,000 490 490
SOFR Fixed rate of 2.716% Receives Annually, Pays Annually Goldman Sachs 09/30/2024 USD 560,000 (972) (972)
SOFR Fixed rate of 2.808% Receives Annually, Pays Annually Goldman Sachs 10/03/2024 USD 310,000 (1,075) (1,075)
Fixed rate of 2.635% SOFR Receives Annually, Pays Annually Goldman Sachs 10/04/2024 USD 1,480,000 (6) (6)
SOFR Fixed rate of 2.693% Receives Annually, Pays Annually Goldman Sachs 10/04/2024 USD 110,000 (132) (132)
Fixed rate of 2.823% SOFR Receives Annually, Pays Annually Goldman Sachs 11/29/2024 USD 1,400,000 (11,301) (11,301)
Fixed rate of 1.710% SOFR Receives Annually, Pays Annually Goldman Sachs 12/09/2024 USD 1,650,000 (30,853) (30,853)
SOFR Fixed rate of 1.890% Receives Annually, Pays Annually Goldman Sachs 02/22/2025 USD 205,000 3,138 3,138
SOFR Fixed rate of 1.985% Receives Annually, Pays Annually Goldman Sachs 02/27/2025 USD 305,000 4,099 4,099
CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022
11

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Cleared interest rate swap contracts (continued)
Fund receives Fund pays Payment
frequency
Counterparty Maturity
date
Notional
currency
Notional
amount
Value
($)
Upfront
payments
($)
Upfront
receipts
($)
Unrealized
appreciation
($)
Unrealized
depreciation
($)
SOFR Fixed rate of 2.532% Receives Annually, Pays Annually Goldman Sachs 03/28/2025 USD 1,080,000 3,003 3,003
3-Month USD LIBOR Fixed rate of 0.625% Receives Quarterly, Pays SemiAnnually Goldman Sachs 04/14/2025 USD 330,000 18,154 18,154
Fixed rate of 0.098% SOFR Receives Annually, Pays Annually Goldman Sachs 06/02/2025 USD 320,000 (5,928) (5,928)
3-Month USD LIBOR Fixed rate of 1.710% Receives Quarterly, Pays SemiAnnually Goldman Sachs 03/06/2026 USD 180,000 1,193 1,193
Fixed rate of -0.085% 6-Month EURIBOR Receives Annually, Pays SemiAnnually Goldman Sachs 08/15/2026 EUR 1,055,000 (50,800) (50,800)
Fixed rate of 0.644% 6-Month EURIBOR Receives Annually, Pays SemiAnnually Goldman Sachs 10/09/2026 EUR 510,000 (7,209) (7,209)
U.S. CPI Urban Consumers NSA Fixed rate of 3.170% Receives at Maturity, Pays at Maturity Goldman Sachs 11/12/2026 USD 570,000 23,543 23,543
U.S. CPI Urban Consumers NSA Fixed rate of 2.984% Receives at Maturity, Pays at Maturity Goldman Sachs 12/02/2026 USD 490,000 24,431 24,431
SOFR Fixed rate of 1.330% Receives Annually, Pays Annually Goldman Sachs 01/14/2027 USD 820,000 31,135 31,135
Fixed rate of 1.331% SOFR Receives Annually, Pays Annually Goldman Sachs 01/14/2027 USD 120,000 (4,553) (4,553)
UK Retail Price Index All Items Monthly Fixed rate of 4.530% Receives at Maturity, Pays at Maturity Goldman Sachs 01/15/2027 GBP 295,000 17,748 17,748
Fixed rate of 1.170% SOFR Receives Annually, Pays Annually Goldman Sachs 01/20/2027 USD 238,000 (4,724) (4,724)
Fixed rate of 2.961% U.S. CPI Urban Consumers NSA Receives at Maturity, Pays at Maturity Goldman Sachs 02/18/2027 USD 665,000 (22,921) (22,921)
SOFR Fixed rate of 1.499% Receives Annually, Pays Annually Goldman Sachs 03/04/2027 USD 150,000 4,863 4,863
SOFR Fixed rate of 1.493% Receives Annually, Pays Annually Goldman Sachs 03/04/2027 USD 120,000 3,925 3,925
SOFR Fixed rate of 1.537% Receives Annually, Pays Annually Goldman Sachs 03/04/2027 USD 120,000 3,671 3,671
SOFR Fixed rate of 1.559% Receives Annually, Pays Annually Goldman Sachs 03/04/2027 USD 120,000 3,548 3,548
SOFR Fixed rate of 1.566% Receives Annually, Pays Annually Goldman Sachs 03/04/2027 USD 120,000 3,505 3,505
Fixed rate of 0.000% SOFR Receives Annually, Pays Annually Goldman Sachs 03/14/2027 USD 60,000 (1,318) (1,318)
Fixed rate of 0.000% SOFR Receives Annually, Pays Annually Goldman Sachs 03/14/2027 USD 240,000 (5,113) (5,113)
Fixed rate of 0.000% SOFR Receives Annually, Pays Annually Goldman Sachs 03/15/2027 USD 60,000 (1,252) (1,252)
6-Month EURIBOR Fixed rate of 0.768% Receives SemiAnnually, Pays Annually Goldman Sachs 03/18/2027 EUR 1,050,000 12,098 12,098
Fixed rate of 2.053% SOFR Receives Annually, Pays Annually Goldman Sachs 03/18/2027 USD 240,000 (1,635) (1,635)
SOFR Fixed rate of 1.965% Receives Annually, Pays Annually Goldman Sachs 03/21/2027 USD 1,610,000 17,852 17,852
Fixed rate of 2.133% SOFR Receives Annually, Pays Annually Goldman Sachs 03/25/2027 USD 120,000 (397) (397)
Fixed rate of 2.133% SOFR Receives Annually, Pays Annually Goldman Sachs 03/25/2027 USD 120,000 (400) (400)
12 CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Cleared interest rate swap contracts (continued)
Fund receives Fund pays Payment
frequency
Counterparty Maturity
date
Notional
currency
Notional
amount
Value
($)
Upfront
payments
($)
Upfront
receipts
($)
Unrealized
appreciation
($)
Unrealized
depreciation
($)
Fixed rate of 0.000% SOFR Receives Annually, Pays Annually Goldman Sachs 03/31/2027 USD 120,000 821 821
Fixed rate of 0.000% SOFR Receives Annually, Pays Annually Goldman Sachs 03/31/2027 USD 60,000 248 248
Fixed rate of 0.000% SOFR Receives Annually, Pays Annually Goldman Sachs 03/31/2027 USD 60,000 244 244
Fixed rate of 1.451% SOFR Receives Annually, Pays Annually Goldman Sachs 04/13/2027 USD 620,000 (22,685) (22,685)
Fixed rate of 1.635% 3-Month USD LIBOR Receives SemiAnnually, Pays Quarterly Goldman Sachs 05/26/2027 USD 510,000 (21,473) (21,473)
Fixed rate of 1.247% 3-Month USD LIBOR Receives Annually, Pays Annually Goldman Sachs 06/05/2027 USD 125,000 (6,122) (6,122)
Fixed rate of 0.680% 3-Month USD LIBOR Receives SemiAnnually, Pays Quarterly Goldman Sachs 06/20/2027 USD 325,000 (28,497) (28,497)
Fixed rate of 0.652% 3-Month USD LIBOR Receives SemiAnnually, Pays Quarterly Goldman Sachs 06/20/2027 USD 325,000 (28,915) (28,915)
Fixed rate of 1.338% 3-Month USD LIBOR Receives SemiAnnually, Pays Quarterly Goldman Sachs 07/08/2027 USD 350,000 (20,014) (20,014)
Fixed rate of 1.190% 3-Month USD LIBOR Receives SemiAnnually, Pays Quarterly Goldman Sachs 07/19/2027 USD 350,000 (22,511) (22,511)
Fixed rate of 1.493% 3-Month USD LIBOR Receives SemiAnnually, Pays Quarterly Goldman Sachs 08/01/2027 USD 380,000 (19,155) (19,155)
Fixed rate of 1.483% 3-Month USD LIBOR Receives SemiAnnually, Pays Quarterly Goldman Sachs 08/01/2027 USD 380,000 (19,332) (19,332)
Fixed rate of 1.931% SOFR Receives Annually, Pays Annually Goldman Sachs 08/12/2027 USD 45,000 (783) (783)
Fixed rate of 1.935% SOFR Receives Annually, Pays Annually Goldman Sachs 08/12/2027 USD 245,000 (4,214) (4,214)
SOFR Fixed rate of 1.501% Receives Annually, Pays Annually Goldman Sachs 09/06/2027 USD 250,000 9,469 9,469
SOFR Fixed rate of 1.615% Receives Annually, Pays Annually Goldman Sachs 09/07/2027 USD 130,000 4,227 4,227
Fixed rate of 2.031% SOFR Receives Annually, Pays Annually Goldman Sachs 09/16/2027 USD 260,000 (3,407) (3,407)
Fixed rate of 2.008% SOFR Receives Annually, Pays Annually Goldman Sachs 09/19/2027 USD 130,000 (1,849) (1,849)
Fixed rate of 1.997% SOFR Receives Annually, Pays Annually Goldman Sachs 09/19/2027 USD 130,000 (1,919) (1,919)
Fixed rate of 1.985% SOFR Receives Annually, Pays Annually Goldman Sachs 09/19/2027 USD 130,000 (1,989) (1,989)
SOFR Fixed rate of 2.440% Receives Annually, Pays Annually Goldman Sachs 09/30/2027 USD 43,000 (258) (258)
SOFR Fixed rate of 2.480% Receives Annually, Pays Annually Goldman Sachs 09/30/2027 USD 387,000 (3,050) (3,050)
UK Retail Price Index All Items Monthly Fixed rate of 3.570% Receives at Maturity, Pays at Maturity Goldman Sachs 10/15/2027 GBP 725,000 141,334 141,334
SOFR Fixed rate of 2.337% Receives Annually, Pays Annually Goldman Sachs 01/04/2028 USD 40,000
Fixed rate of 1.904% SOFR Receives Annually, Pays Annually Goldman Sachs 02/14/2028 USD 130,000 (2,401) (2,401)
3-Month USD LIBOR Fixed rate of 1.271% Receives Quarterly, Pays SemiAnnually Goldman Sachs 02/15/2028 USD 490,000 31,157 31,157
3-Month USD LIBOR Fixed rate of 1.043% Receives Quarterly, Pays SemiAnnually Goldman Sachs 02/22/2028 USD 50,000 3,827 3,827
SOFR Fixed rate of 2.307% Receives Annually, Pays Annually Goldman Sachs 03/28/2028 USD 380,000 (348) (348)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022
13

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Cleared interest rate swap contracts (continued)
Fund receives Fund pays Payment
frequency
Counterparty Maturity
date
Notional
currency
Notional
amount
Value
($)
Upfront
payments
($)
Upfront
receipts
($)
Unrealized
appreciation
($)
Unrealized
depreciation
($)
UK Retail Price Index All Items Monthly Fixed rate of 3.710% Receives at Maturity, Pays at Maturity Goldman Sachs 06/15/2028 GBP 380,000 68,657 68,657
Fixed rate of 0.654% 3-Month USD LIBOR Receives SemiAnnually, Pays Quarterly Goldman Sachs 07/12/2028 USD 330,000 (28,250) (28,250)
SOFR Fixed rate of 1.780% Receives Annually, Pays Annually Goldman Sachs 02/15/2029 USD 980,000 27,450 27,450
Fixed rate of 2.069% SOFR Receives Annually, Pays Quarterly Goldman Sachs 02/15/2029 USD 480,000 (4,289) (4,289)
UK Retail Price Index All Items Monthly Fixed rate of 3.715% Receives at Maturity, Pays at Maturity Goldman Sachs 09/15/2029 GBP 400,000 64,729 64,729
UK Retail Price Index All Items Monthly Fixed rate of 3.750% Receives at Maturity, Pays at Maturity Goldman Sachs 09/15/2029 GBP 345,000 53,888 53,888
Fixed rate of 0.820% 3-Month USD LIBOR Receives SemiAnnually, Pays Quarterly Goldman Sachs 04/14/2030 USD 170,000 (19,308) (19,308)
3-Month USD LIBOR Fixed rate of 0.648% Receives Quarterly, Pays SemiAnnually Goldman Sachs 06/02/2030 USD 10,000 1,295 1,295
Fixed rate of 3.574% UK Retail Price Index All Items Monthly Receives at Maturity, Pays at Maturity Goldman Sachs 10/15/2030 GBP 525,000 (125,885) (125,885)
Fixed rate of 0.690% 6-Month EURIBOR Receives Annually, Pays SemiAnnually Goldman Sachs 02/15/2031 EUR 330,000 (14,954) (14,954)
Fixed rate of 0.644% 6-Month EURIBOR Receives Annually, Pays SemiAnnually Goldman Sachs 02/15/2031 EUR 660,000 (32,763) (32,763)
UK Retail Price Index All Items Monthly Fixed rate of 3.623% Receives at Maturity, Pays at Maturity Goldman Sachs 04/15/2031 GBP 210,000 49,707 49,707
Fixed rate of 3.678% UK Retail Price Index All Items Monthly Receives at Maturity, Pays at Maturity Goldman Sachs 04/15/2031 GBP 45,000 (10,267) (10,267)
UK Retail Price Index All Items Monthly Fixed rate of 3.721% Receives at Maturity, Pays at Maturity Goldman Sachs 06/15/2031 GBP 310,000 63,804 63,804
UK Retail Price Index All Items Monthly Fixed rate of 3.699% Receives at Maturity, Pays at Maturity Goldman Sachs 06/15/2031 GBP 270,000 56,501 56,501
Fixed rate of 1.513% 3-Month USD LIBOR Receives SemiAnnually, Pays Quarterly Goldman Sachs 08/19/2031 USD 20,000 (1,475) (1,475)
3-Month USD LIBOR Fixed rate of 1.429% Receives Quarterly, Pays SemiAnnually Goldman Sachs 09/21/2031 USD 180,000 14,960 14,960
3-Month USD LIBOR Fixed rate of 1.391% Receives Quarterly, Pays SemiAnnually Goldman Sachs 09/22/2031 USD 180,000 15,547 15,547
3-Month USD LIBOR Fixed rate of 1.521% Receives Quarterly, Pays SemiAnnually Goldman Sachs 09/24/2031 USD 380,000 33,646 33,646
Eurostat Eurozone HICP ex-Tobacco NSA Fixed rate of 1.956% Receives at Maturity, Pays at Maturity Goldman Sachs 10/15/2031 EUR 67,500 8,277 8,277
Eurostat Eurozone HICP ex-Tobacco NSA Fixed rate of 2.044% Receives at Maturity, Pays at Maturity Goldman Sachs 10/15/2031 EUR 67,500 7,558 7,558
14 CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Cleared interest rate swap contracts (continued)
Fund receives Fund pays Payment
frequency
Counterparty Maturity
date
Notional
currency
Notional
amount
Value
($)
Upfront
payments
($)
Upfront
receipts
($)
Unrealized
appreciation
($)
Unrealized
depreciation
($)
Eurostat Eurozone HICP ex-Tobacco NSA Fixed rate of 2.091% Receives at Maturity, Pays at Maturity Goldman Sachs 10/15/2031 EUR 70,000 7,437 7,437
Eurostat Eurozone HICP ex-Tobacco NSA Fixed rate of 2.134% Receives at Maturity, Pays at Maturity Goldman Sachs 10/15/2031 EUR 65,000 6,564 6,564
3-Month USD LIBOR Fixed rate of 1.775% Receives Quarterly, Pays SemiAnnually Goldman Sachs 10/18/2031 USD 190,000 12,636 12,636
Fixed rate of 2.755% U.S. CPI Urban Consumers NSA Receives at Maturity, Pays at Maturity Goldman Sachs 10/22/2031 USD 107,000 (6,944) (6,944)
Fixed rate of 2.827% U.S. CPI Urban Consumers NSA Receives at Maturity, Pays at Maturity Goldman Sachs 10/25/2031 USD 108,000 (6,190) (6,190)
Fixed rate of 2.855% U.S. CPI Urban Consumers NSA Receives at Maturity, Pays at Maturity Goldman Sachs 10/26/2031 USD 108,000 (5,872) (5,872)
Fixed rate of 2.890% U.S. CPI Urban Consumers NSA Receives at Maturity, Pays at Maturity Goldman Sachs 10/28/2031 USD 110,000 (5,573) (5,573)
Fixed rate of 2.825% U.S. CPI Urban Consumers NSA Receives at Maturity, Pays at Maturity Goldman Sachs 11/03/2031 USD 210,000 (12,056) (12,056)
Eurostat Eurozone HICP ex-Tobacco NSA Fixed rate of 2.004% Receives at Maturity, Pays at Maturity Goldman Sachs 11/15/2031 EUR 115,000 13,444 13,444
SOFR Fixed rate of 2.052% Receives Annually, Pays Annually Goldman Sachs 11/15/2031 USD 420,000 4,134 4,134
SOFR Fixed rate of 2.088% Receives Quarterly, Pays SemiAnnually Goldman Sachs 11/15/2031 USD 560,000 3,797 3,797
SOFR Fixed rate of 2.119% Receives Annually, Pays Annually Goldman Sachs 11/15/2031 USD 140,000 586 586
Fixed rate of 1.802% SOFR Receives Annually, Pays Annually Goldman Sachs 11/15/2031 USD 420,000 (13,066) (13,066)
Fixed rate of 1.628% SOFR Receives Annually, Pays Annually Goldman Sachs 11/15/2031 USD 420,000 (19,251) (19,251)
Fixed rate of 1.815% SOFR Receives Annually, Pays Annually Goldman Sachs 11/15/2031 USD 690,000 (22,423) (22,423)
Fixed rate of 1.186% SOFR Receives Annually, Pays Annually Goldman Sachs 12/07/2031 USD 43,000 (3,391) (3,391)
Fixed rate of 1.238% SOFR Receives Annually, Pays Annually Goldman Sachs 12/07/2031 USD 130,000 (9,638) (9,638)
Fixed rate of 4.265% UK Retail Price Index All Items Monthly Receives at Maturity, Pays at Maturity Goldman Sachs 12/15/2031 GBP 200,000 (15,825) (15,825)
SOFR Fixed rate of 1.553% Receives Annually, Pays Annually Goldman Sachs 01/10/2032 USD 130,000 6,155 6,155
SOFR Fixed rate of 1.607% Receives Annually, Pays Annually Goldman Sachs 01/11/2032 USD 130,000 5,523 5,523
Fixed rate of 4.246% UK Retail Price Index All Items Monthly Receives at Maturity, Pays at Maturity Goldman Sachs 01/15/2032 GBP 295,000 (22,073) (22,073)
SOFR Fixed rate of 1.736% Receives Annually, Pays Annually Goldman Sachs 02/08/2032 USD 130,000 4,202 4,202
CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022
15

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Cleared interest rate swap contracts (continued)
Fund receives Fund pays Payment
frequency
Counterparty Maturity
date
Notional
currency
Notional
amount
Value
($)
Upfront
payments
($)
Upfront
receipts
($)
Unrealized
appreciation
($)
Unrealized
depreciation
($)
SOFR Fixed rate of 1.787% Receives Annually, Pays Annually Goldman Sachs 02/10/2032 USD 230,000 6,384 6,384
3-Month USD LIBOR Fixed rate of 1.594% Receives Quarterly, Pays SemiAnnually Goldman Sachs 02/22/2032 USD 225,000 15,774 15,774
3-Month USD LIBOR Fixed rate of 1.621% Receives Quarterly, Pays SemiAnnually Goldman Sachs 02/22/2032 USD 112,500 7,615 7,615
Fixed rate of 1.684% SOFR Receives Annually, Pays Annually Goldman Sachs 03/02/2032 USD 65,000 (2,484) (2,484)
Fixed rate of 0.000% SOFR Receives Annually, Pays Annually Goldman Sachs 03/02/2032 USD 65,000 (2,561) (2,561)
Fixed rate of 1.600% 3-Month USD LIBOR Receives SemiAnnually, Pays Quarterly Goldman Sachs 03/02/2032 USD 240,000 (12,433) (12,433)
Fixed rate of 0.000% SOFR Receives Annually, Pays Annually Goldman Sachs 03/03/2032 USD 130,000 (6,329) (6,329)
Fixed rate of 1.535% SOFR Receives Annually, Pays Annually Goldman Sachs 03/03/2032 USD 130,000 (6,729) (6,729)
Fixed rate of 1.510% SOFR Receives Annually, Pays Annually Goldman Sachs 03/03/2032 USD 130,000 (7,023) (7,023)
SOFR Fixed rate of 0.000% Receives Annually, Pays Annually Goldman Sachs 03/04/2032 USD 65,000 2,163 2,163
SOFR Fixed rate of 0.000% Receives Annually, Pays Annually Goldman Sachs 03/04/2032 USD 65,000 2,086 2,086
Fixed rate of 1.613% SOFR Receives Annually, Pays Annually Goldman Sachs 03/08/2032 USD 65,000 (2,923) (2,923)
Fixed rate of 1.603% SOFR Receives Annually, Pays Annually Goldman Sachs 03/08/2032 USD 65,000 (2,982) (2,982)
Fixed rate of 1.533% SOFR Receives Annually, Pays Annually Goldman Sachs 03/08/2032 USD 65,000 (3,277) (3,277)
3-Month USD LIBOR Fixed rate of 1.672% Receives Quarterly, Pays SemiAnnually Goldman Sachs 03/10/2032 USD 80,000 3,181 3,181
SOFR Fixed rate of 0.000% Receives Annually, Pays Annually Goldman Sachs 03/11/2032 USD 180,000 6,165 6,165
SOFR Fixed rate of 1.766% Receives Annually, Pays Annually Goldman Sachs 03/11/2032 USD 33,000 1,033 1,033
SOFR Fixed rate of 1.761% Receives Annually, Pays Annually Goldman Sachs 03/11/2032 USD 32,000 1,016 1,016
SOFR Fixed rate of 1.811% Receives Annually, Pays Annually Goldman Sachs 03/14/2032 USD 90,000 2,467 2,467
SOFR Fixed rate of 1.810% Receives Annually, Pays Annually Goldman Sachs 03/14/2032 USD 65,000 1,787 1,787
SOFR Fixed rate of 1.840% Receives Annually, Pays Annually Goldman Sachs 03/14/2032 USD 65,000 1,611 1,611
UK Retail Price Index All Items Monthly Fixed rate of 4.574% Receives at Maturity, Pays at Maturity Goldman Sachs 03/15/2032 GBP 170,000 538 538
UK Retail Price Index All Items Monthly Fixed rate of 4.595% Receives at Maturity, Pays at Maturity Goldman Sachs 03/15/2032 GBP 170,000 (44) (44)
SOFR Fixed rate of 1.974% Receives Annually, Pays Annually Goldman Sachs 03/16/2032 USD 130,000 1,655 1,655
SOFR Fixed rate of 0.000% Receives Annually, Pays Annually Goldman Sachs 03/16/2032 USD 65,000 1,114 1,114
SOFR Fixed rate of 2.093% Receives Annually, Pays Annually Goldman Sachs 03/18/2032 USD 65,000 135 135
Fixed rate of 1.078% 6-Month EURIBOR Receives Annually, Pays SemiAnnually Goldman Sachs 03/18/2032 EUR 1,410,000 (18,871) (18,871)
16 CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Cleared interest rate swap contracts (continued)
Fund receives Fund pays Payment
frequency
Counterparty Maturity
date
Notional
currency
Notional
amount
Value
($)
Upfront
payments
($)
Upfront
receipts
($)
Unrealized
appreciation
($)
Unrealized
depreciation
($)
Fixed rate of 2.012% SOFR Receives Annually, Pays Annually Goldman Sachs 03/22/2032 USD 30,000 (290) (290)
SOFR Fixed rate of 2.046% Receives Annually, Pays Annually Goldman Sachs 03/23/2032 USD 50,000 329 329
SOFR Fixed rate of 2.093% Receives Annually, Pays Annually Goldman Sachs 03/23/2032 USD 65,000 155 155
SOFR Fixed rate of 2.097% Receives Annually, Pays Annually Goldman Sachs 03/23/2032 USD 65,000 131 131
SOFR Fixed rate of 2.154% Receives Annually, Pays Annually Goldman Sachs 03/23/2032 USD 65,000 (207) (207)
SOFR Fixed rate of 2.184% Receives Annually, Pays Annually Goldman Sachs 03/23/2032 USD 65,000 (380) (380)
Fixed rate of 3.093% U.S. CPI Urban Consumers NSA Receives at Maturity, Pays at Maturity Goldman Sachs 03/23/2032 USD 275,000 (1,606) (1,606)
SOFR Fixed rate of 0.000% Receives Annually, Pays Annually Goldman Sachs 03/24/2032 USD 60,000 (608) (608)
Fixed rate of 3.118% U.S. CPI Urban Consumers NSA Receives at Maturity, Pays at Maturity Goldman Sachs 03/24/2032 USD 275,000 (827) (827)
SOFR Fixed rate of 2.151% Receives Annually, Pays Annually Goldman Sachs 03/25/2032 USD 90,000 (237) (237)
SOFR Fixed rate of 2.210% Receives Annually, Pays Annually Goldman Sachs 03/25/2032 USD 40,000 (326) (326)
Fixed rate of 2.185% SOFR Receives Annually, Pays Annually Goldman Sachs 03/28/2032 USD 230,000 1,300 1,300
3-Month USD LIBOR Fixed rate of 0.760% Receives Quarterly, Pays SemiAnnually Goldman Sachs 05/03/2032 USD 180,000 26,651 26,651
3-Month USD LIBOR Fixed rate of 0.765% Receives Quarterly, Pays SemiAnnually Goldman Sachs 05/04/2032 USD 320,000 47,244 47,244
Fixed rate of 2.265% SOFR Receives Annually, Pays Annually Goldman Sachs 06/24/2032 USD 160,000 1,454 1,454
SOFR Fixed rate of 1.955% Receives Annually, Pays Annually Goldman Sachs 08/17/2032 USD 5,000 100 100
SOFR Fixed rate of 1.960% Receives Annually, Pays Annually Goldman Sachs 08/18/2032 USD 130,000 2,535 2,535
SOFR Fixed rate of 1.718% Receives Annually, Pays Annually Goldman Sachs 02/06/2033 USD 130,000 5,385 5,385
Fixed rate of 2.300% SOFR Receives Annually, Pays Annually Goldman Sachs 03/28/2033 USD 110,000 1,180 1,180
UK Retail Price Index All Items Monthly Fixed rate of 3.420% Receives at Maturity, Pays at Maturity Goldman Sachs 10/15/2034 GBP 815,000 201,382 201,382
3-Month USD LIBOR Fixed rate of 1.907% Receives Quarterly, Pays SemiAnnually Goldman Sachs 10/21/2034 USD 150,000 5,655 5,655
3-Month USD LIBOR Fixed rate of 1.933% Receives Quarterly, Pays SemiAnnually Goldman Sachs 10/22/2034 USD 100,000 3,547 3,547
3-Month USD LIBOR Fixed rate of 1.998% Receives Quarterly, Pays SemiAnnually Goldman Sachs 11/07/2034 USD 130,000 3,870 3,870
3-Month USD LIBOR Fixed rate of 2.111% Receives Quarterly, Pays SemiAnnually Goldman Sachs 11/12/2034 USD 130,000 2,624 2,624
UK Retail Price Index All Items Monthly Fixed rate of 3.360% Receives at Maturity, Pays at Maturity Goldman Sachs 01/15/2035 GBP 300,000 83,875 83,875
UK Retail Price Index All Items Monthly Fixed rate of 3.390% Receives at Maturity, Pays at Maturity Goldman Sachs 01/15/2035 GBP 300,000 81,572 81,572
CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022
17

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Cleared interest rate swap contracts (continued)
Fund receives Fund pays Payment
frequency
Counterparty Maturity
date
Notional
currency
Notional
amount
Value
($)
Upfront
payments
($)
Upfront
receipts
($)
Unrealized
appreciation
($)
Unrealized
depreciation
($)
Fixed rate of 1.800% SOFR Receives Annually, Pays Annually Goldman Sachs 01/15/2037 USD 90,000 (2,075) (2,075)
Fixed rate of 1.845% SOFR Receives Annually, Pays Annually Goldman Sachs 02/01/2037 USD 730,000 (13,456) (13,456)
Fixed rate of 1.860% SOFR Receives Annually, Pays Annually Goldman Sachs 01/17/2039 USD 170,000 (3,134) (3,134)
Fixed rate of 3.360% UK Retail Price Index All Items Monthly Receives at Maturity, Pays at Maturity Goldman Sachs 10/15/2039 GBP 815,000 (262,373) (262,373)
3-Month USD LIBOR Fixed rate of 2.098% Receives Quarterly, Pays SemiAnnually Goldman Sachs 10/23/2039 USD 70,000 1,512 1,512
Fixed rate of 3.341% UK Retail Price Index All Items Monthly Receives at Maturity, Pays at Maturity Goldman Sachs 01/15/2040 GBP 300,000 (104,068) (104,068)
Fixed rate of 3.310% UK Retail Price Index All Items Monthly Receives at Maturity, Pays at Maturity Goldman Sachs 01/15/2040 GBP 300,000 (107,513) (107,513)
3-Month USD LIBOR Fixed rate of 0.973% Receives Quarterly, Pays SemiAnnually Goldman Sachs 08/17/2040 USD 60,000 12,885 12,885
Fixed rate of 3.333% UK Retail Price Index All Items Monthly Receives at Maturity, Pays at Maturity Goldman Sachs 11/15/2040 GBP 115,000 (45,261) (45,261)
Fixed rate of 3.560% UK Retail Price Index All Items Monthly Receives at Maturity, Pays at Maturity Goldman Sachs 03/15/2041 GBP 120,000 (37,659) (37,659)
UK Retail Price Index All Items Monthly Fixed rate of 3.725% Receives at Maturity, Pays at Maturity Goldman Sachs 12/15/2041 GBP 100,000 18,777 18,777
UK Retail Price Index All Items Monthly Fixed rate of 3.774% Receives at Maturity, Pays at Maturity Goldman Sachs 12/15/2041 GBP 65,000 11,385 11,385
UK Retail Price Index All Items Monthly Fixed rate of 3.855% Receives at Maturity, Pays at Maturity Goldman Sachs 12/15/2041 GBP 65,000 9,003 9,003
Fixed rate of 3.270% UK Retail Price Index All Items Monthly Receives at Maturity, Pays at Maturity Goldman Sachs 10/15/2044 GBP 630,000 (262,669) (262,669)
3-Month USD LIBOR Fixed rate of 2.110% Receives Quarterly, Pays SemiAnnually Goldman Sachs 11/15/2044 USD 160,000 1,948 1,948
Fixed rate of 3.239% UK Retail Price Index All Items Monthly Receives at Maturity, Pays at Maturity Goldman Sachs 01/15/2045 GBP 200,000 (89,190) (89,190)
Fixed rate of 3.220% UK Retail Price Index All Items Monthly Receives at Maturity, Pays at Maturity Goldman Sachs 01/15/2045 GBP 300,000 (136,618) (136,618)
SOFR Fixed rate of 1.827% Receives Annually, Pays Annually Goldman Sachs 08/15/2047 USD 170,000 7,721 7,721
Fixed rate of 2.132% SOFR Receives Annually, Pays Annually Goldman Sachs 08/15/2047 USD 160,000 2,258 2,258
Fixed rate of 2.054% SOFR Receives Annually, Pays Annually Goldman Sachs 08/15/2047 USD 170,000 (197) (197)
SOFR Fixed rate of 1.830% Receives Annually, Pays Annually Goldman Sachs 11/15/2048 USD 160,000 7,651 7,651
3-Month USD LIBOR Fixed rate of 2.378% Receives Quarterly, Pays SemiAnnually Goldman Sachs 07/05/2049 USD 60,000 (1,179) (1,179)
3-Month USD LIBOR Fixed rate of 1.709% Receives Quarterly, Pays SemiAnnually Goldman Sachs 08/16/2049 USD 50,000 1,110 1,110
18 CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Cleared interest rate swap contracts (continued)
Fund receives Fund pays Payment
frequency
Counterparty Maturity
date
Notional
currency
Notional
amount
Value
($)
Upfront
payments
($)
Upfront
receipts
($)
Unrealized
appreciation
($)
Unrealized
depreciation
($)
3-Month USD LIBOR Fixed rate of 1.667% Receives Quarterly, Pays SemiAnnually Goldman Sachs 08/17/2049 USD 40,000 995 995
UK Retail Price Index All Items Monthly Fixed rate of 3.160% Receives at Maturity, Pays at Maturity Goldman Sachs 10/15/2049 GBP 630,000 325,268 325,268
UK Retail Price Index All Items Monthly Fixed rate of 3.111% Receives at Maturity, Pays at Maturity Goldman Sachs 01/15/2050 GBP 300,000 165,739 165,739
UK Retail Price Index All Items Monthly Fixed rate of 3.133% Receives at Maturity, Pays at Maturity Goldman Sachs 01/15/2050 GBP 200,000 107,765 107,765
Fixed rate of 1.828% 3-Month USD LIBOR Receives SemiAnnually, Pays Quarterly Goldman Sachs 02/10/2050 USD 50,000 (4,752) (4,752)
Fixed rate of 1.870% 3-Month USD LIBOR Receives SemiAnnually, Pays Quarterly Goldman Sachs 02/19/2051 USD 90,000 (7,761) (7,761)
Fixed rate of 1.905% 3-Month USD LIBOR Receives SemiAnnually, Pays Quarterly Goldman Sachs 02/22/2051 USD 45,000 (3,541) (3,541)
Fixed rate of 1.793% Eurostat Eurozone HICP ex-Tobacco NSA Receives at Maturity, Pays at Maturity Goldman Sachs 07/15/2051 EUR 50,000 (20,767) (20,767)
Fixed rate of 2.320% Eurostat Eurozone HICP ex-Tobacco NSA Receives at Maturity, Pays at Maturity Goldman Sachs 10/15/2051 EUR 65,000 (11,014) (11,014)
Fixed rate of 2.277% Eurostat Eurozone HICP ex-Tobacco NSA Receives at Maturity, Pays at Maturity Goldman Sachs 10/15/2051 EUR 70,000 (13,319) (13,319)
Fixed rate of 2.221% Eurostat Eurozone HICP ex-Tobacco NSA Receives at Maturity, Pays at Maturity Goldman Sachs 10/15/2051 EUR 67,500 (14,652) (14,652)
Fixed rate of 2.132% Eurostat Eurozone HICP ex-Tobacco NSA Receives at Maturity, Pays at Maturity Goldman Sachs 10/15/2051 EUR 67,500 (17,495) (17,495)
Fixed rate of 2.205% Eurostat Eurozone HICP ex-Tobacco NSA Receives at Maturity, Pays at Maturity Goldman Sachs 10/15/2051 EUR 310,000 (69,691) (69,691)
U.S. CPI Urban Consumers NSA Fixed rate of 2.570% Receives at Maturity, Pays at Maturity Goldman Sachs 10/22/2051 USD 107,000 9,581 9,581
U.S. CPI Urban Consumers NSA Fixed rate of 2.606% Receives at Maturity, Pays at Maturity Goldman Sachs 10/25/2051 USD 465,000 35,687 35,687
U.S. CPI Urban Consumers NSA Fixed rate of 2.624% Receives at Maturity, Pays at Maturity Goldman Sachs 10/25/2051 USD 108,000 7,594 7,594
U.S. CPI Urban Consumers NSA Fixed rate of 2.620% Receives at Maturity, Pays at Maturity Goldman Sachs 10/26/2051 USD 108,000 7,748 7,748
U.S. CPI Urban Consumers NSA Fixed rate of 2.625% Receives at Maturity, Pays at Maturity Goldman Sachs 10/28/2051 USD 110,000 7,691 7,691
CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022
19

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Cleared interest rate swap contracts (continued)
Fund receives Fund pays Payment
frequency
Counterparty Maturity
date
Notional
currency
Notional
amount
Value
($)
Upfront
payments
($)
Upfront
receipts
($)
Unrealized
appreciation
($)
Unrealized
depreciation
($)
U.S. CPI Urban Consumers NSA Fixed rate of 2.540% Receives at Maturity, Pays at Maturity Goldman Sachs 11/03/2051 USD 60,000 5,991 5,991
Eurostat Eurozone HICP ex-Tobacco NSA Fixed rate of 2.127% Receives at Maturity, Pays at Maturity Goldman Sachs 11/15/2051 EUR 50,000 13,101 13,101
Eurostat Eurozone HICP ex-Tobacco NSA Fixed rate of 2.184% Receives at Maturity, Pays at Maturity Goldman Sachs 11/15/2051 EUR 50,000 11,770 11,770
Eurostat Eurozone HICP ex-Tobacco NSA Fixed rate of 2.194% Receives at Maturity, Pays at Maturity Goldman Sachs 11/15/2051 EUR 50,000 11,529 11,529
Eurostat Eurozone HICP ex-Tobacco NSA Fixed rate of 2.170% Receives at Maturity, Pays at Maturity Goldman Sachs 11/15/2051 EUR 20,000 4,838 4,838
Fixed rate of 2.628% U.S. CPI Urban Consumers NSA Receives at Maturity, Pays at Maturity Goldman Sachs 11/15/2051 USD 75,000 (5,123) (5,123)
Fixed rate of 2.206% Eurostat Eurozone HICP ex-Tobacco NSA Receives at Maturity, Pays at Maturity Goldman Sachs 11/15/2051 EUR 25,000 (5,684) (5,684)
Fixed rate of 2.676% U.S. CPI Urban Consumers NSA Receives at Maturity, Pays at Maturity Goldman Sachs 11/17/2051 USD 75,000 (3,819) (3,819)
Fixed rate of 2.626% U.S. CPI Urban Consumers NSA Receives at Maturity, Pays at Maturity Goldman Sachs 11/22/2051 USD 20,000 (1,375) (1,375)
Fixed rate of 2.613% U.S. CPI Urban Consumers NSA Receives at Maturity, Pays at Maturity Goldman Sachs 11/24/2051 USD 75,000 (5,498) (5,498)
Fixed rate of 1.389% SOFR Receives Annually, Pays Annually Goldman Sachs 12/15/2051 USD 10,000 (1,293) (1,293)
Fixed rate of 2.096% Eurostat Eurozone HICP ex-Tobacco NSA Receives at Maturity, Pays at Maturity Goldman Sachs 12/15/2051 EUR 10,000 (2,734) (2,734)
Fixed rate of 2.125% Eurostat Eurozone HICP ex-Tobacco NSA Receives at Maturity, Pays at Maturity Goldman Sachs 12/15/2051 EUR 50,000 (13,010) (13,010)
U.S. CPI Urban Consumers NSA Fixed rate of 2.445% Receives at Maturity, Pays at Maturity Goldman Sachs 12/20/2051 USD 75,000 9,379 9,379
Fixed rate of 1.620% SOFR Receives Annually, Pays Annually Goldman Sachs 01/06/2052 USD 30,000 (2,209) (2,209)
Eurostat Eurozone HICP ex-Tobacco NSA Fixed rate of 2.094% Receives at Maturity, Pays at Maturity Goldman Sachs 01/15/2052 EUR 55,000 14,512 14,512
Fixed rate of 1.530% SOFR Receives Annually, Pays Annually Goldman Sachs 01/15/2052 USD 70,000 (550) (550)
20 CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Cleared interest rate swap contracts (continued)
Fund receives Fund pays Payment
frequency
Counterparty Maturity
date
Notional
currency
Notional
amount
Value
($)
Upfront
payments
($)
Upfront
receipts
($)
Unrealized
appreciation
($)
Unrealized
depreciation
($)
Fixed rate of 2.416% U.S. CPI Urban Consumers NSA Receives at Maturity, Pays at Maturity Goldman Sachs 01/31/2052 USD 80,000 (9,919) (9,919)
Fixed rate of 2.694% U.S. CPI Urban Consumers NSA Receives at Maturity, Pays at Maturity Goldman Sachs 03/14/2052 USD 75,000 (1,496) (1,496)
Eurostat Eurozone HICP ex-Tobacco NSA Fixed rate of 2.419% Receives at Maturity, Pays at Maturity Goldman Sachs 03/15/2052 EUR 55,000 5,182 5,182
6-Month EURIBOR Fixed rate of 0.963% Receives SemiAnnually, Pays Annually Goldman Sachs 03/18/2052 EUR 315,000 6,864 6,864
3-Month USD LIBOR Fixed rate of 1.090% Receives Quarterly, Pays SemiAnnually Goldman Sachs 06/20/2052 USD 60,000 15,730 15,730
3-Month USD LIBOR Fixed rate of 1.136% Receives Quarterly, Pays SemiAnnually Goldman Sachs 06/20/2052 USD 60,000 15,119 15,119
3-Month USD LIBOR Fixed rate of 0.881% Receives Quarterly, Pays SemiAnnually Goldman Sachs 07/12/2053 USD 60,000 17,823 17,823
SOFR Fixed rate of 1.670% Receives Annually, Pays Annually Goldman Sachs 01/15/2055 USD 21,000 1,021 1,021
Fixed rate of 1.929% 3-Month USD LIBOR Receives SemiAnnually, Pays Quarterly Goldman Sachs 12/01/2056 USD 10,000 (401) (401)
SOFR Fixed rate of 1.685% Receives Annually, Pays Annually Goldman Sachs 01/15/2057 USD 10,000 321 321
Total             729,707 3,185,539 (2,455,832)
    
Reference index and values for swap contracts as of period end
Reference index   Reference rate
3-Month USD LIBOR London Interbank Offered Rate 0.962%
6-Month EURIBOR Euro Interbank Offered Rate (0.367%)
Eurostat Eurozone HICP ex-Tobacco NSA Harmonised Index of Consumer Price Index Excluding Tobacco 2.500%
SOFR Secured Overnight Financing Rate 0.290%
SONIA Sterling Overnight Index Average 0.690%
UK Retail Price Index All Items Monthly United Kingdom Retail Price Index All Items 7.000%
U.S. CPI Urban Consumers NSA United States Consumer Price All Urban Non-Seasonally Adjusted Index 8.542%
Notes to Portfolio of Investments
(a) Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At March 31, 2022, the total value of these securities amounted to $52,054,142, which represents 43.35% of total net assets.
(b) Zero coupon bond.
(c) Principal amounts are denominated in United States Dollars unless otherwise noted.
(d) Principal and interest may not be guaranteed by a governmental entity.
(e) This security or a portion of this security has been pledged as collateral in connection with derivative contracts.
(f) The rate shown is the seven-day current annualized yield at March 31, 2022.
CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022
21

Portfolio of Investments   (continued)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2022 (Unaudited)
Notes to Portfolio of Investments  (continued)
(g) As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended March 31, 2022 are as follows:
    
Affiliated issuers Beginning
of period($)
Purchases($) Sales($) Net change in
unrealized
appreciation
(depreciation)($)
End of
period($)
Realized gain
(loss)($)
Dividends($) End of
period shares
Columbia Short-Term Cash Fund, 0.308%
  3,241,255 7,067,088 (7,282,734) 48 3,025,657 (766) 1,096 3,026,868
Abbreviation Legend
LIBOR London Interbank Offered Rate
SOFR Secured Overnight Financing Rate
Currency Legend
AUD Australian Dollar
CAD Canada Dollar
DKK Danish Krone
EUR Euro
GBP British Pound
JPY Japanese Yen
NZD New Zealand Dollar
SEK Swedish Krona
USD US Dollar
Investments are valued using policies described in the Notes to Financial Statements in the most recent shareholder report.
22 CTIVP® – BlackRock Global Inflation-Protected Securities Fund  | First Quarter Report 2022

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1QT7029_12_A01_(05/22)